It seems that some but mostly OEM preinstalled Windows XP versions with Servicepack 3 included in the initial installation have the Terminal Services ActiveX control disabled by default.
There has been a workaround published in a MS forum:
"Click on Tools -> Manage Add-Ons -> Enable or Disable Add-Ons in IE to enable the Terminal Services ActiveX control. If you are unable to see/enable the Terminal Services ActiveX control in IE7 on XPSP3 as a workaround can you try deleting the following registry keys:
Once you delete these keys, the activeX control should be enabled in IE7."