This is no longer possible in Windows Vista/Windows Server 2008 or later. To help prevent what are called 'shatter' attacks - where an attacking program sends a message to a privileged service's window, that exploits a vulnerability in that message handler - the 'interactive' session is isolated from real desktops. Microsoft call this Session 0 Isolation. There are some application compatibility measures for legacy services.
On Windows Server 2003 and earlier, it will only work if the user is either logged on at the physical console, or using a special switch to Remote Desktop to tell it to connect you to an administrative session. For Remote Desktop 6.0 or before (before XP SP3 or Vista SP1) you use the /console
switch. For Remote Desktop 6.1 or later (included in XP SP3 and Vista SP1), use /admin
. Other remote access utilities project the physical console session.