Which desktop enviroment are you using? KDE or Gnome. (KDE has the sprockets, Gnome has the foot).
KDE's remote desktop, I beleive, is a slightly modified version of VNC, but I am not sure about Gnome.
The customary way to remotely access a Linux box is by using 'ssh'. SSH is like telnet, but it's encrypted and secure. Most of the time a ssh server is installed by default in most Linux distro versions.
There is a good SSH client for Windows called putty.exe. It's free and it's easy to use. Just download it and run it from your desktop, or install the bigger package. (with that you can use sftp and scp to transfer files around, too.)
SSH accesses the shell remotely, so it's not all graphical like VNC is... but you can do things like ssh into the machine remotely and start your remote desktop, or vnc that way. I don't think you can do kde's desktop sharing like that because it expects that you already have a X window session open...
vncserver or tightvncserver doesn't have that problem, though. It starts up a completley new X Window session just for that vnc service, so you can have dozens running at once.. but they dont' do the 'remote control' thing that happens when you start a vnc server on windows.
However the window manager that it uses by default is fairly ugly with a nasty gray screen. You have to edit a config file to fix it, but I dont' know if you want to do that just right now. Personally I prefer using just plain old ssh.