Yes you can connect to and remotely control your Windows desktop from your Windows Mobile smartphone with the Windows Mobile 6 Remote Desktop client. The newest version of Mobile Remote Desktop boasts fullscreen control, 16 bit graphics, and full-on sound transfer (similar to the full-on Remote Desktop client for Windows). According to the Inspect My Gadget weblog, the new client could actually stream video with sound over a LAN (though Orb is the better video streamer for practical situations). The WM6 Remote Desktop client is free to download, works on either Windows Mobile 5 or 6 (several WM6 vendors did not include the new Remote Desktop).
If it didn't come with your phone, grab it here:
http://pdaphonehome.com/forums/ppc-6700-xv6700/84897-wm6_rdp-mobile-remote-desktop-client.html