While checking the configuration of my router I noticed that my modem
also had options to setup port forwarding. On closer investigation I
determined that I had setup port forwarding twice; once in the router
configuration screen and once in the modem configuration screen. Both
settings were for port 3389, however only the IP address on the router
was correct, the other setting was for an IP address of one of my other
machines that I rarely use. I removed the port forwarding settings on
the modem and everything started to work as expected!

I can only assume I accidently added the port forwarding to the modem
when I was trying to get Remote Desktop working!

Paul.