No, the only recommended process for the installation of the FREE version, is to install it physically on the machine - no remote installs.
(DISCLAIMER: I am NOT an employee of LMI, nor do I have any financial concern in LMI. I am strictly a HAPPY USER of LMI products. I am using PC version and XP SP2. Other systems or versions may act different than described above.)
Obviously this is an old thread, but for the benefit of anyone Googling... you can pass mstsc.exe the flag "/console" and it will connect you to the console session of your RDP server. Most third-party RDP clients support a similar flag (rdesktop, CoRD).