I found my answer!
On Windows Server 2003 you have to go to "My Computer" property on the Remote tab and check the Remote option.


>On Windows 2000 Server we have to install the Terminal Services to get the two Admin. TS sessions.
>
>On Windows Server 2003 it look different.
>For what I see the TS Sessions are already install?
>
>When I try to install the TS Services I do not have the Admin. Sessions option.
>
>Any one knows about this?