Robert,
We don't have a specific episode for it, but I can give you the details here. James' post above pretty much covers it. The only thing I would add is a little bit of history as to how it got started because that will show you how closely the technologies are related. In the mid-90's Microsoft and Citrix worked together to create a product called Winframe. It was Windows NT 3.51 with mainframe-like terminal support, only using a GUI instead of a text based interface. It was a revolutionary product at the time but the relationship between the two companies didn't stick. In the next version of Windows, Microsoft dropped the Winframe product and integrated the technologies that they held the license for in a new product called Windows NT 4.0 Terminal Services Edition. At the same time, Citrix release Citrix Metaframe which could be installed on top of Windows NT 4.0 and added back in all the technologies that Citrix held the license for. From that point on, Microsoft and Citrix moved along two different development paths. Microsoft continued to develop Remote Desktop Protocol (RDP) and Citrix developed Independent Computing Architecture (ICA). The two protocols do basically the same thing, allow multiple users to view a desktop rendered by a remote server. However, each has its own bells and whistles.
Both products have evolved a lot since then. Microsoft's Terminal Server changed names and became Remote Desktop Services or RDS. Citrix Metaframe changed names and became Citrix Metaframe XP, then Citrix Presentation Server and finally Citrix XenApp which is the name it holds today. It is all the same product, just a different name. If it sounds confusing, that's because it is. I can only keep it straight because I have worked with Citrix across all the versions. If you are new to it, it is a naming mess.
Combine that with James' answer above and you should have a pretty exhaustive answer to your question. Let me know if there is anything else I can help with.
Don Pezet
Host, ITProTV