Since you used the Windows Server R2 tag, I assume you use the R2 version:
On the RD Session Host server, open Remote Desktop Session Host Configuration. To open Remote Desktop Session Host Configuration, click Start, point to Administrative Tools, point to Remote Desktop Services, and then click Remote Desktop Session Host Configuration.
Under Connections, right-click the name of the connection, and then click Properties.
In the Properties dialog box for the connection, on the Network Adapter tab, click Maximum connections, enter the number of simultaneous remote connections that you want to allow for the connection, and then click OK.
If the Maximum connections option is selected and dimmed, the Limit number of connections Group Policy setting has been enabled and has been applied to the RD Session Host server.