When using remote desktop (Windows XP Professional and supersets) - innately
the screen locks on the remote machine.
You can use a third party tool to circumvent this.  UltraVNC or TightVNC are
good third party solutions for remote control - sharing the screen with
whomever might be there.

You can log into the local console session if the machine was logged into
when you remoted into it and you log into the same account as is currently
logged on.  Then you can push the console back to the original console
session, unlocking it for whomever is sitting in front of it (essentially.
Start --> RUN --> tscon.exe 0 /dest:console)  Also - if you lock it and log
off properly (instead of just disconnecting) - although the Windows machine
is not logged into - it is not "locked" by anyone in particular either - and
even non-admins should be able to log on.  (CTRL+ALT+END is the same as
CTRL+ALT+DEL on the remote machine.)