I have spent the last hour to reproduce your problem on my network but no luck  ,,, here are couple of things O want you to try.
Find these two files on your Windows XP system: mstsc.exe and mstscax.dll , copy them to your Windows 2000 machine and then try to remote connect to Windows XP machine via a double click on "mstsc.exe" ,,, let us know the results.
If you feel like a adventurer and you wouldn't mind trying something new, then I would suggest trying a software called Remote Administrator or "Radmin" , I am using this software on daily bases and I love it, it works great and there is nothing to be configured, all you need is the IP address of the remote system...
Here is the link:
http://www.radmin.com
cheers
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AMD Athlon 3200+ 2Gig RAM, OS: XP Pro
VMWare 6.xx, Guest OS: DOS622, 98SE, Windows 2K, Windows XP Home, FreeBDS 6.2, MEPIS, CenOS44, Windows 2003 Server SBS, Windows 2003 Server Enterprise, Windows Vista Ultimate
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