If you're going to log in to install something, I would recommend that you log in using the console session instead of a regular session. Using the console session is more like you were actually sitting at the server.
You can do this by executing "mstsc /console" from your workstation. The regular RDP shortcut just executes "mstsc.exe" without any switches.
One note of caution, though. If you need to log out and you have an app that needs to be running in the console session, remember to disconnect from the server instead of logging out like you normally would. If you log out, the app will be terminated during the logout process.
I've done this lots of time without any problems that I'm aware of.