He/she has to export this using the built-in tools. You begin to solve the problem by asking your server administrator for the server's root certificate.
By default a mac will not have server-client trust certificates installed simply because the exchange won't happen transparently between an MS based server and non MS-OS such as OS X. I doubt you'd be aware of any of this as generally server administrators won't necessarily discuss them. However your problem may be with your understanding of the secure remote connections requirements between your server and remote connections. Questions about RDC for Mac should be put on the relevant Microsoft forum rather than here. I doubt this a 'problem' with the mac as such nor does it have anything to do with Remote Desktop for Mac which is an entirely different product and for which this forum is for.
