When you log into a Windows server via Remote Desktop you log into a virtual user session. What you see on the screen isn't repeated to the server's local video console. All of the games that Cortex runs are run in the system console, where the server's keyboard, video, and mouse are used, so you have to take an extra step to connect to it.

Follow the directions above to make sure that the Remote Desktop client is installed. You must run the Remote Desktop client manually with a command switch to connect to your server's console. Go to Start->Run... and enter the following:

mstsc -console

Click OK and the Remote Desktop Client will load like normal, but now when you connect to the server you'll connect to it's local console.