Yes, rdesktop is working ('ive just tested it to my XP Prof station):
in a console simply try
rdesktop 192.168.0.123 <- place ip of your server here

But Knoppix 5.0.1 contains the older rdesktop 1.4.1; the actual 1.5.0 seems to support XP themes much better (my rdesktop'ed XP looks like Win2000 on Knoppix.