You can now get an Windows MMC snap-in that allows you to easily manage multiple remote desktop connections at once.
However it can be a little tricky to find, especially if you are running Windows 7
The file you need to download is here :
it’s the “Windows Server 2003 Service Pack 1 Administration Tools Pack”
Which sound like just a service pack for the tools, but it’s the whole thing.
You then need to start MMC and then add “Remote Desktops” snap-in.
Then right-click on the “Remote Desktops” branch and choose “Add new connection.”