I did not know until today that there is something called gnome-rdp using which one can RDP to Windows machines from Ubuntu (or any other linux flavour I imagine). Installation is simple on Ubuntu, with it available in Synaptic Package Manager. To start it you can type in gnome-rdp in a console or go to Applications -> Internet -> Gnome-RDP. Once it has started, usage is quite simple - though you might want to change the remote desktop size and colours. Interestingly this also supports VNC and SSH.