create a script that looks something like this
rdesktop -a 16 -f -u username -p password win2k3host
called it say "remotedesktop", make it executable (chmod u+x) and put it in /usr/local/bin
If you use GNOME right click on the desktop and select "create launcher", and put "/usr/local/bin/remotedesktop" in the Command field. For KDE it should be something similar.