Thanks clutch,
Terminal Services is not installed at all, and it doesn't show up as installed component.
I think I don't need to install Terminal Services because when I try to install it, I get a message "If you only want to remotely administer the server, you should use Remote Desktop".
I can successfully connect to the XP box, but not the other way around.
Here at work my office is far from the server room, so I need to test it remotely so I can do other work in the same time. Hopefully I will resolve the problem soon.