Windows XP/Vista/7
1. Start Menu -> Run -> type mstsc and then hit OK
2. Remote Desktop Connection Window will open so go ahead and click on Options
3. Click on Local resources Tab, then More
4. Now click the plus sign by Drives to expand. Here you can check on or number of drives or all of them which means that the drives that are checked will be the drives you can transfer files to.
5. After you check on or many drives click OK and you are good to go.