From TechTV's web site (an older article but it sums it up pretty well):

"We ran into another issue, this time between Remote Desktop and XP's Multiple Users feature. If a user is logged into the system locally and another tries to connect remotely, one will have to log off as only one user at a time can have access to the computer. Users on both ends will be prompted with warning messages if this occurs. While it serves a few needs, it won't replace more robust offerings such as the corporate-heavy pcAnywhere 10.0 from Symantec, or the supremely easy GoToMyPC from ExpertCity, a relatively speedy, Internet-based subscription service. "

So it seems the answer is no. However, I haven't got XP and this article is a bit dated so this may have changed, but I would doubt it.

-Zeke