Connect to virtual Machines will not work on XP SP2. If you are using XP SP2, then please upgrade it to XP SP3.
If you have any older version of Virtual Machine manager Self-Service Portal 2.0 or 2.0 SP1 Client, then please uninstall it from "Control Panel\Programs\Programs and Features" and Try to connect to Virtual Machine again.
If you are still facing the issues, then please try to connect to Virtual machines from another XP SP3 machine and see if that works.
Also see if there are any error messages in the VMMSSPweb log or VMMSSPService log files available in installtion folder and Event logs in the Event Viewer on the Server Component under "Application and Services logs->Microsoft->Virtual Machine Manager SSP".
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