You can, at least for Windows XP Professional. How To Make a Local Printer Available During a Connection to a Remote Desktop in Windows XP Professional:
- Click Start, point to All Programs, point to Accessories, point to Communications, and then click Remote Desktop Connection.
- Click Options in the Remote Desktop Connection dialog box.
- Click the Local Resources tab.
- Click Printers in the Local Devices box.
- Click Connect.
After you establish the remote connection and log on to the remote computer, the local printer that is connected to the client becomes the default printer for any programs that are running on the remote desktop. If the client has more than one printer attached to it, the default printer for the computer becomes the default printer on the remote desktop; however, all local printers are available.
I assume you should be able to do something like this for Windows Vista and 7.