If you're connecting with the same username & passwor it should re-connect to the same session. If not once you're logged on just open Task Manager, click on the Users tab and then right click the other listed session and click connect.
Alternatively always logon to the console session when you remote desktop. Start>Run then type "mstsc /admin" (without quotes) and click ok. There's only the one console session so every time you remote desktop you'll connect where you left off.
if you always lock or close the RDP to your current session when you walk away, you will be loged on to it when you come back regardless of where from, otherwise the taskmgr will be able to switch you to it. if you disable concurrent sessions the console will be closed if you log on to your server.