Open the Remote Desktop connection prompt (Start>Programs>Accessories>Communications>Remote Desktop Connection).
Type in the name (or IP address) of the remote server.
Click on the Options >> button.
Click on the Local Resources tab.
Check the box next to "Printers".
Click on the General tab.
Enter your user name, password and domain if desired. Check the "Save my password" box if you want the connection to remember your password.
Click on the Save As... button and save the connection shortcut somewhere you can find it. (The Windows Desktop works great). Use this shortcut to establish the connection in the future.
Click Connect and you're done. Unless your local printer specifically does not support use over a remote desktop connection, you should be able to print to that printer from within the connection.