This usually happens when for some unknown reason RDP ActiveX unregisters itself.
To fix the problem you should:- open cmd.exe and change dir to %windir%\system32\
- run the following command: regsvr32.exe mstscax.dll
If you don't have regsvr32.exe on your system, it can be downloaded from:
http://s-code.com/download/regsvr32.exe