If you have install Ubuntu Server 12.04 and you install your own desktop environment, e.g: xfce, this can happen when you try to remote your server.
The solution is simple, yet tricky. There is 2 file that you need to take a look.
First: /etc/xrdp/startwm.sh
Search line:
. /etc/X11/xsession
(usually at end of the file)
Change to:
/usr/bin/xfce4-session
Second: ~/.xsession
If the file is not there, create new.
Put this line:
gnome-session –session-gnome-classic
Restart xrdp:
/etc/init.d/xrdp restart
Then try to connect to your server.