Since the Ubuntu server installation does not install the X-environment by default, there would be no desktop to connect to. Unless you installed X manually, what you need is a way to access the console/command line, seeing as most of what you do in a linux server is done via the console anyway =)
- SSH Client
The easiest way to access the console is using a ssh client for windows called PuTTy (available at putty.org).
My preferred method is to install openssh for windows (download at openssh.org). This means you can connect to a server by opening a DOS window and type "ssh" just like you would at the console in linux.
- SSH Server
To verify that the ssh server is running on the server, enter the following on the server console:
sudo service ssh status
If it's running you will get a message back saying that the service is running and a number indicating the process id.
If you get an error message, the ssh server might not be installed. Try the following to install the ssh server:
sudo apt-get install ssh
This will install the ssh-server and start it. Now you should be able to connect through ssh using putty.
- Bonus
Installing/using ssh to connect to the server gives the extra bonus of being able to use a windows program called winscp (download at winscp.net), It's a windows implementation of "scp" and allows you to download/upload files to the server in a FTP-like way.