I have a Windows XP Pro SP3 Virtualbox VM that I have been using to test connectivity to a Cisco ASA 5510 SSL VPN.

Problem:
Using Internet Explorer 8 and trying to launch an RDP (Remote Desktop Protocol) session. It created a memory error and then Internet Explorer told me that DEP had stomped on a process.

I tried adding IE8, Sun Java, Mstsc.exe, mstscax.dll (The Microsoft Remote Desktop Active X control) to the DEP Exception list and still no Joy.

The cause:
Finally dug up that Microsoft JVM might be causing the issue.

The resolution:
Googled and downloaded the Microsoft JVM remover and then finally connected to the Cisco SSL VPN and after several connections while it installed the Cisco Portforwarder Control and IE8 it got it's act together I was finally able to connect properly with Internet Explorer and MS Native RDP client.

Work-a-round
A work-a-round I discovered was to force the use of the Java RDP Client using rdp://hostname/?ForceJava=true in the SSL VPN Portal thereby bypassing the Microsoft ActiveX client but the Java client doesn't have the ability to go full screen so it's better to use windows native mstsc.