Remote desktop will share the clipboard as part of the remote service.
So anything you copy to clipboard locally is in competition with what can be copied to clipboard remotely. Which takes precedence? And which clipboard are you pasting from?
I think it is bugged somehow in xp, because for some people, when RD is enabled, it will get into a state where it will forget what is put there locally, or overwrite it with what it believes should be there.
This may not be the problem however, but it is the first thing I'd try.
The very first xp machine I used had this bug, and it really turned me off xp, because I rely on clipboard functions working as they're supposed to.