Before we start, it is important to keep in mind that the majority Windows OS that are running Vista Home Premium, and the coming Windows 7 Home Premium will not have this feature. This feature only available in Professional, Business, Enterprise, and Ultimate editions. So if you are a Home Premium user this post dose not apply to you, however, you can still use the Remote Desktop Client feature to connect a Host Computer that do support Remote Desktop mentioned earlier.
Step 1 (assuming you are not running Home Basic or Premium)
Go to Control Panel > System and Security > System
On the left hand side, Click Advanced System Settings > Remote > (under Remote Desktop) enable by Choosing either "Allow connections from computer running any version of RDP or RDP with network level Authentication"
The less secure one will allow client computer running XP or 2K to connect your host OS, the more secure require Vista or Windows 7.
Hit Apply when you done, your firewall option should automatically updated to allow the incoming RDP connection.
Note: the Remote Desktop feature is disabled by default. You need to do the step above to enable it.
You can give it a try with another local network computer by going to the "Remote Desktop Connection" and type into the Host Computer’s IP address (private IP in this case)
To enable the new Aero theme in a RDP environment see this post.