I've just installed Office for Mac 2001 (v14.3.3), on this page (http://www.microsoft.com/mac/remote-desktop-client) it says "Remote Desktop Connection for Mac 2 is included with every edition of Office for Mac 2011." but I can't find it anywhere.
Well in my case it is right here
In your case it might be waiting for you in the "Downloads folder" to be installed. If not get it from MS here http://www.microsoft.com/en-us/download/details.aspx?id=1350