1) Logon to the terminal server
2) Click Start, Programs, Administrative Tools, Terminal Services
3) Click Terminal Service COnfiguration
4) Click the top level
5) The setting to restrict users to single session will appear within the right hand pane.
6) Right click and click properties
7) Amend to Yes and click OK

If you have multiple Terminal Servers, may be worth doing this through Group Policy to save you the time configuring each server.