I just found a link to the October issue of Windows Server System Magazine in which they detail the setup of a Terminal Server and secure it. This is a good primer for those starting out using terminal services in both the Application Server or Remote Desktop mode (and actually much of it also applies to Windows XP systems).
Terminal Server: Setup and Security Guide from Windows Server System Magazine
Alert - Archived Data
Please note that the old Network Blog content (from http://www.networkblog.net) is included for historic purposes only. Much of this data is either no longer relevant or may be missing from the original source. Most of this data was back from my MVP age and is over ten years old. Thus, many of the links are no longer valid as Microsoft has changed the links on many of their Technet sites.