Assuming that you have all the *-devel packages for building it. The source tarball from rdesktop's sourceforge site, seems fubar'd because it doesn't include "-lz" in the linker (last) stage. You might get the following error:

/usr/bin/ld: errno@@GLIBC_PRIVATE: TLS definition in /lib/libc.so.6 section .tbss mismatches non-TLS reference in /usr/i486-linux-libc5/lib/libz.so.1
/usr/i486-linux-libc5/lib/libz.so.1: could not read symbols: Bad value

If so, copy that last linker line, and add -lz to the end of it so that it reads as such:

gcc -O2 -mtune=pentium4 -march=pentium4 -I/usr/local/include  \
-Wall -I/usr/include  -DPACKAGE_NAME=\"rdesktop\" \
-DPACKAGE_TARNAME=\"rdesktop\" -DPACKAGE_VERSION=\"1.5.0\" \
-DPACKAGE_STRING=\"rdesktop\ 1.5.0\" -DPACKAGE_BUGREPORT=\"\" \
-DSTDC_HEADERS=1 -DL_ENDIAN=1 -DHAVE_SYS_TYPES_H=1 \
-DHAVE_SYS_STAT_H=1 -DHAVE_STDLIB_H=1 -DHAVE_STRING_H=1 \
-DHAVE_MEMORY_H=1 -DHAVE_STRINGS_H=1 -DHAVE_INTTYPES_H=1 \
-DHAVE_STDINT_H=1 -DHAVE_UNISTD_H=1 -DHAVE_SYS_SELECT_H=1 \
-DHAVE_LOCALE_H=1 -DHAVE_LANGINFO_H=1 -Dssldir=\"/usr\" \
-DNEED_ALIGN=1 -DEGD_SOCKET=\"/var/run/egd-pool\" -DWITH_RDPSND=1 \
-DHAVE_DIRENT_H=1 -DHAVE_DECL_DIRFD=1 -DHAVE_ICONV_H=1 \
-DHAVE_SYS_VFS_H=1 -DHAVE_SYS_STATVFS_H=1 -DHAVE_SYS_STATFS_H=1 \
-DHAVE_SYS_PARAM_H=1 -DHAVE_SYS_MOUNT_H=1 \
-DHAVE_STRUCT_STATVFS_F_NAMEMAX=1 \
-DHAVE_STRUCT_STATFS_F_NAMELEN=1 -D_FILE_OFFSET_BITS=64 \
-DHAVE_MNTENT_H=1 -DIPv6=1  \
-DKEYMAP_PATH=\"/usr/local/share/rdesktop/keymaps/\" -o rdesktop rdesktop.o xwin.o \
xkeymap.o ewmhints.o xclip.o cliprdr.o rdpsnd.o rdpsnd_oss.o tcp.o iso.o mcs.o secure.o \
licence.o rdp.o orders.o bitmap.o cache.o rdp5.o channels.o rdpdr.o serial.o printer.o disk.o \
parallel.o printercache.o mppc.o pstcache.o lspci.o seamless.o -L/usr/lib -lcrypto  -lz  -lX11

(Please note, I've added the trailing back slashes on each line so you can cut and paste.)

http://www.cendio.com/seamlessrdp so it looks like Parallels Desktop running windows applications.

Cool!