The most common way to access any Windows-based remote hosted server is through a native technology available in every edition of Windows 2000 and 2003: Remote Desktop. However, when using Remote Desktop to deal with a server that's not on your premises, you need to be careful.
When you use the Remote Desktop client to remote into one a server, there are two distinct ways to end your session: logging off and disconnecting. Under most circumstances, it is generally preferable to choose "Log off..." from the Start menu as opposed to just "disconnecting" by closing the remote desktop window (clicking the X that appears when you hover your mouse at the top of the screen). This is because logging off will close all your applications and free up all the memory that was keeping your session alive. By contrast, disconnecting keeps all the info about your session in memory and is waiting for you the next time you log back in.
This sounds like a good thing, but on a slower machine, it has the effect of taking up resources (clock cycles, memory) that aren't being actively used. This can slow the machine down for others who are trying to log in. Also, Two is the maximum allowed no. of remote sessions for systems that use Remote Desktop for administration. Hence remember you might be unnecessarily hogging the session. . If you need the session to persist - e.g., you are running a really time-consuming query/process and don't want to have the window open while it runs - then "disconnecting" is fine and necessary. But if you're done working on the server for the time being, it's probably better to "log off", so your session ends properly.