This is a bit more of an unusual situation that I found a fix for.
I had set up my Windows 7 x64 machine so that I could connect to it remotely. When I got to work I tried the connection from the Windows XP (SP3) machine that I had been given to use. It was at least running IE8 but when I fired up the connection to the remote machine IE crashed, told me I needed to report the error then recovered enough to let me know it could not connect to my remote machine.
A quick bit of surfing later and the answer appeared in the form of this answer from Microsoft.
Apparently I didn’t have IPV6 installed on the machine, but doing the installation solved the problem.