Microsoft has recently posted a program at their download center that allows you to manage all of your remote desktop connections in one program.
If you only manage a couple this might still be useful but this is really intended for those who manage a lot of remote machines and would like to have one central interface to access them from. Once you have entered the details for each connection it is stored and ready for your next connection.
RDCMan manages multiple remote desktop connections. It is useful for managing server labs where you need regular access to each machine such as automated checkin systems and data centers. It is similar to the built-in MMC Remote Desktops snap-in, but more flexible.
Supported Operating Systems: Windows 7; Windows Server 2003; Windows Server 2008; Windows Server 2008 R2; Windows Vista
Users using Windows XP or Windows Server 2003 will need to obtain version 6 or newer of the Remote Desktop Connection client software. See the related downloads for more information.
Screenshot of Remoter Desktop Manager connected to a client PC: