Mac OS X doesn't support this out of the box, as far as I know, at least not for Windows clients.

Because of that you will want 3rd party software such as [Aqua Connect][1] or [iRAPP][2] terminal server. 

Apple have screen sharing, but it is VNC-based (the extensions to 'screen sharing' to allow more than one connection requires a mac client, I believe) and [all][3] [indications][4] [are][5] that the Lion implementation of VNC is broken, especially when trying to access it from Windows clients.

  [1]: http://www.aquaconnect.net/mac-terminal-server.php
  [2]: http://www.coderebel.com/products/irapp-terminal-server/
  [3]: http://forums.macrumors.com/showthread.php?t=1195549
  [4]: https://discussions.apple.com/thread/3190260?start=15&tstart=0
  [5]: http://forum.ultravnc.info/viewtopic.php?f=3&t=28641