Remote Desktop itself isn't normally "sluggish" ... but like any
client-server app, a big slice of it's performance will be determined by
network configuration. Eg: are the machines on the same LAN, or separated
by a WAN? Are they on a 10Mbps hub, or a Gigabit switch? And so on.
FWIW, I RDP into 3 or 4 machines (including an XP machine) which are all
on the same Gigabit switch as my main desktop machine, and the performance
is almost instantaneous: it's just like being logged in directly.
Under the Remote Desktop Options, there's an "Experience" tab, where you
can tweak various settings to get the best performance. You could try
fiddling with those a bit. Otherwise it would be a matter of getting a
network trace, to see where the lag was in the network performance.
Hope it helps a bit,