Elaborate more as to what is going on.
On the remote machine, is the check box checked on the Remote Desktop area (right click My Computer->Properties->Remote)?
Do you have any other firewall software running on the machine besides the default Microsoft Firewall?
Is there a hardware firewall that might be blocking port 3389 (remote desktop)?
Is this over a LAN or WAN? Local or remote?
Give us some more information about the machine you are connecting from (any software firewalls on that besides MS?). The more info, the better....