Although this has been out for a while, I got reminded recently about a tool from Microsoft that manages multiple remote desktop settings.   If you find yourself swapping between multiple machine and dislike separate windows this may be the tool for you.   This tool is a MMC 2.0 snap-in .   The "Remote Desktops" add-in can be found/installed in the Windows Server 2003 Admin Pack SP1 (can be installed on other platforms).   The download can be found here:

http://www.microsoft.com/downloads/details.aspx?FamilyID=e487f885-f0c7-436a-a392-25793a25bad7&DisplayLang=en