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[Remko]

Actually...
It was documented starting from vista as WTSConnectSession http://msdn.microsoft.com/en-us/library/bb394782(VS.85).aspx which is merely a wrapper for WinStationConnect. I don't think it will work on the services session though (you can try offcourse).
I think for that purpose (switching to session 0) you need to use the WinStationSwitchToServicesSession which I expect to require system permissions. As I recall it's a function (or procedure) without arguments.