Mac OSX 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 or iRAPP 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 indications are that the Lion implementation of VNC is broken, especially when trying to access it from Windows clients.