Even though the Windows Mobile Help shows how to launch and use Remote Desktop, I discovered that it was not installed on my phone. I have an ATT Tilt (HTC-8900) with Windows Mobile 6 Professional. After extensive Google searches I found that this is a common problem and eventually found the solution. A file available for download from PDAPhone.com did the trick.

Since 'finster869' was kind enough to post the file, I thought it would be good to give it another link to make it easier for people to find.