Try opening up a command prompt and telnet into it (telnet 0.0.0.0 3389). Where 0.0.0.0 is your actual public IP.
If you get a blank screen, your connection is open.
If you get a "Connecting To 0.0.0.0..Could not open connection to the host, on port 3389: Connect failed" message, then it might really be blocked at your work. Remember, proxy servers can be set so that user A has rights to connect to anything and user B can only go to port 80 etc. So just because your co-worker can do it doesn't mean you can.