If your server administrator does not know how or, worse still, won't do this for you, then you have far deeper problems that go well beyond OS X in particular and IT as a whole in general. On further prompts make sure you select 'Always Trust'. cer file and when prompted install it as a system keychain. They should know how to do this? Once exported save it to a memory stick, insert it into your mac, double click on the. He/she has to export this using the built-in tools. You begin to solve the problem by asking your server administrator for the server's root certificate.
By default a mac will not have server-client trust certificates installed simply because the exchange won't happen transparently between an MS based server and non MS-OS such as OS X. I doubt you'd be aware of any of this as generally server administrators won't necessarily discuss them. However your problem may be with your understanding of the secure remote connections requirements between your server and remote connections. Questions about RDC for Mac should be put on the relevant Microsoft forum rather than here.
I doubt this a 'problem' with the mac as such nor does it have anything to do with Remote Desktop for Mac which is an entirely different product and for which this forum is for.
