Ok, the problem is simple, you are in China for example and you have a really bad connection from your hotel to your Windows Server or your home computer via a rdesktop connection.
Luckily you have a proxy server somewhere (for example a squid), but rdesktop has NO settings for a proxy server, and it ignores the proxy settings in Control Panel….
Luckily someone pointed me to a nice program with which you can configure a proxy for a program which does not even support a proxy, meet Proxy Firewall, direct download link here .