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.