sorry, you cant do that with XP. You have a max of one terminal server
(RDP) session at a time. With XP, the RDP session will always kick off
the console session. As you pointed out, Server 03 gives you 1 console
session plus 2 extra RDP sessions.
You could use VNC of course as that wont kick off the console user.
However, it wont be a seperate session so probably not a solution.