As far as I know, the in-built Windows Remote Desktop does not allow for a remote login to *not* logout the current user. Assuming this is correct, my advice would be to investigate alternative solutions, such as:
*
Radmin
*
PC Anywhere
and so on. These products tend to offer *loads* more features than the inbuilt Windows solution, and in particular I'd recommend Radmin if you were to pursue this further.
Edit: To answer the other part of your question, assuming you are running Windows XP you can enable Remote Desktop by going to the Control Panel, choosing System, clicking the Remote tab and ticking the box corresponding to Remote Desktop there.