If you are using an older Windows operating system such as Windows 7 then you may need to update your Remote Desktop Connection installation before you can connect to PPS Hosted. Find the relevant links for this below:
Windows 7 32-bit - http://www.microsoft.com/en-us/download/details.aspx?id=35393
Windows 7 64-bit - http://www.microsoft.com/en-us/download/details.aspx?id=35387
Windows Vista 64-Bit - http://www.microsoft.com/en-us/download/details.aspx?id=20414
Windows Vista 32-Bit - http://www.microsoft.com/en-us/download/details.aspx?id=12767