I found it much easier to connect to my Raspberry Pi with xRDP than with VNC. The reason is that the RDP service will start up when the Raspberry Pi starts up.

Not so with VNC (out of the box). I have used VNC alot in the past, on other systems, so I tried with VNC first, but I decided to go for the xRDP solution. Using xRDP, you actually don't need to download anything on your client PC. If you use Windows, you connect to your Pi with the built in "Remote desktop".

Here is how you set up your Pi with xRDP:

After you are logged in to your Pi, type the following in the terminal:

sudo apt-get install xrdp

And that's it! Open your "Remote desktop connection" in windows and you're good to go. Of course, you'll need to know your Raspberry Pi's IP. Take a look here for a description on how to set a static IP on your Pi.