As far as I know, you cannot disable this feature. Partly due to security reason, but my best guess is that they (microsoft) don't want to overwork the WinXP and partly due to the licensing.
But there is another alternative to this is by using ThinSoft Winconnect Server XP. It enable RDP Client(s) to connect to your Windows XP Machine (but there is limitation. Max connection for RDP Client will be 21). Cool software but pricey (expensive). By the way RDP is the technology used in Windows 2000 Terminal Server and also in WinXP Pro. I have looking around for ages for alternative WinXP RDP Server but no luck.