How to access "remote desktop" folder from my local PC?

I don't think RDP supports such a feature. What would I do?

I would set up an FTP server and connect to it, then you wouldn't need to even RDP.

Better yet, I'd set up an SSH server: http://lifehacker.com/#!205090/geek-to-live--set-up-a-personal-home-ssh-server

Then, I'd get dokan sshfs http://dokan-dev.net/en/download/

This way, the remote computer's drive would be mapped and ready to work with on my local computer.