Windows NT Server 4.0, Terminal Server Edition
On the Terminal Server, use Administrative Tools / Terminal Server Connection Configuration to double-click the rdp-tcp or ica-rdp connection and press Advanced. Clear the Prompt for Password box in the AutoLogon section. Press OK, OK, and Exit.
NOTE: if you have configured DontDisplayLastUserName, unset it.
Windows 2000 Terminal Services
On the server, use Administrative Tools / Terminal Server Connection Configuration to double-click the rdp-tcp connection. On the Logon Setting tab, clear the Always prompt for password box. Press OK and exit.
NOTE: See the new location of DontDisplayLastUserName to unset it.
Configuring the Client
Use Terminal Server Client and press Client Connection Manager. Right click the connection Properties or create one. On the General tab, check the Log on automatically with this information box and enter the user name, password and domain name. Press OK and exit the Client Connection Manager.