You can download the Windows RDP client free from Microsoft's website at http://www.microsoft.com/windowsxp/downloads/tools/rdclientdl.mspx. Unfortunately, if you have the client installed but merely lost your shortcut, the install will fail.
Try Start, Run, MSTSC and Ok. If it's installed, it will run.
If you want to recreate the shortcut, the executable is MSTSC.EXE, normally found in C:\\Windows\System32.