Are you running a GUI on your Linux machine (i.e. not just logged in at text console)?
If you are running a GUI (an X server), and it is a typical configuration, and you are logged in as the same user which is running the GUI, it should just be a mater of setting the DISPLAY environment variable. It is a little strange that this is not set already, hence my question about being logged in at the console.
To set the DISPLAY and run the rdesktop, do this:
DISPLAY=:0.0 rdesktop <server>
By the way, it would be helpful if you could put your distribution in your profile. it will then appear on the left when you post, and save time / improve the accuracy of answers.