Sometimes we have multiple computers in location that we want direct RDP access to. The simplest solution is to change the port that RDP is listening on. This article has the necessary registry key: http://support.microsoft.com/kb/306759
Yesterday I did this on our new Windows 2008 e-mail server to allow outside access, but could not connect to the new port number or the old port number. It turns out that Windows Firewall was the culprit. I assumed that the Windows firewall rule would be hooked in to the service executable. However, there is a rule with a hard coded TCP port instead.
So, when you change the RDP port number, remember to create a new incoming rule that allows that port.