You can, but you'd better install Remote Desktop Connection 7.0 for XP SP3, released October 28, 2009.
See this article for details:
Remote Desktop Connection 7 for Windows 7, Windows XP & Windows Vista
This article discusses the Remote
Desktop Connection (RDC) 7.0 client
update that enables you to use the new
Remote Desktop Services features.
These features are introduced in
Windows 7 and in Windows Server 2008
R2. These features are available for
computers that are running Windows XP
Service Pack 3 (SP3), Windows Vista
Service Pack 1 (SP1), and Windows
Vista Service Pack 2 (SP2).
The RDC 7.0 client can be used to
connect to legacy terminal servers or
to remote desktops as before. However,
the new features that are mentioned in
this article are available only when
the client connects to a remote
computer that is running Windows 7 or
Windows Server 2008 R2.