Have you verified you can remote to the computer via the internal network from another machine? The user must have XP Pro as Home does not support RDP. Of course check any client side firewall (including XP's) to make sure there is an exception for port 3389.
I've also seen issues where RDP didn't work due to certain versions of Nvidia drivers which still drives me mad on one of my machines.
You can also try a port scanner such as NMap (
www.nmap.org) to verify if port 3389 is open on the router/firewall from the outside.