I finally find out the answer to this problem. The problem is caused by the Nvidia Display card driver. The driver version installed on the machine and provided on the website caused the remote desktop to crash. I installed the latest driver provided by Nvidia and the problem is gone.  I hope Dell's concerning personnel will test the drivers throughly before issuing to the customers.
My PC is a optiplex 960sff using Windows XP Service Pack 3. After first-time setup, I disabled windows firewall, enabled remote desktop and tried to connect it. But not success, it does not prompt me even username and password. There is no firewall/antivirus on the PC.
Can't connect through Remote Desktop