I think this would work, connect from the remote machine with the /admin option like so...
mstsc /v:windows7machine /admin
And then when you go to disconnect, you can run this command from the client to keep the session alive and redirect the session to the console...
tscon 1 /dest:console
[EDIT] I should add, this is kind of a trick for managing a HTPC through RDP, since you can login through RDP (hiding the desktop locally), queue and start a movie, then disconnect the RDP session while redirecting it's output to the local display (unhiding the desktop locally).
UPDATE
If it's an Active Directory environment, check to make sure the option End a disconnected session
isn't checked under properties for the affected user in ADUC.