Yeah, on second thought, RDP is probably out, as it shares the whole display. (I think this could probably be worked around, but it would definitely be a lot of hassle.) On a Windows version supporting multiple sessions, you could still have a separate session, which would be adequate for auxiliary displays, though not part of the desktop...

VNC is a better bet for Windows machines; you just need to set up an additional monitor that's not actually connected, and run VNC on that display.