It looks fine to me. http://img825.imageshack.us/img825/2145/ieonrdp.jpg
This is with font-smoothing turned off. I usually have it turned on, and to be honest, I can't tell the difference.
That's because there is no difference. Look at the desktop icon text: it isn't anti-aliased, which implies the system (or RDP) anti-aliasing option is disabled (either Standard Antialiasing or ClearType) but the text in IE is subpixel anti-aliased, which means it is disregarding an explicit system setting.