Hope this help.

http://www.microsoft.com/resources/documentation/WindowsServ/2003/standard/prodd
ocs/en-us/Default.asp?url=/resources/documentation/WindowsServ/2003/standard/pro
ddocs/en-us/rdesktop_troubleshoot.asp

The connection does not automatically log on to the server. I am prompted
for my user name and password on connection.

Cause:  Due to encryption enhancements for Windows Server 2003 family
operating systems, the Windows NT 4.0 version of Terminal Services Client
does not recognize the user name and password in the automatic logon portion
of the connection file.

Solution:  From the Windows NT 4.0 version of Client Connection Manager,
right-click the connection and select Properties. On the General tab, select
Automatic logon, and then type the user name, password, and domain.

Solution:  Upgrade the client software to Remote Desktop Connection.

Cause:  The server administrator has configured the server to deny automatic
logon.

Solution:  Type your user name and password when prompted.

Cause:  User name and password information has not been added to Remote
Desktop Connection.

Solution:  In Remote Desktop Connection, on the General tab, type your user
name and password, and then select the Save my password checkbox.