I am sure they are having a Win2000 Terminal Server. The window you are referring to is probably the Terminal Client. It allows a person to work on the server from a different(remote) machine as if you are using the server itself. This facility is deployed for many reasons but one of the prime reason is the minimisation of cost. Linux can run on darn cheap boxes but Win2000 requires good configuration. So one powerful server may solve the purpose of having multiple costly machines.
