your system administrator does not allow the use of saved credentials to log on to the remote computer

This security measure could frustrating when you connect and disconnect a lot to the same (or many) terminal server. To get rid of it and to be able to use saved credentials in this situation you need to configure the following:

Go to Start -> type: gpedit.msc -> in the console configure the following:

Enable the each shown policy and then click on the “Show” button to get to the server list and add “TERMSRV/* to the server. In my case it’s ‘*’ which indicates that cached credentials will be allowed to all servers.

The last thing to do is refreshing policy. To do that just go to command line and type: gpupdate /force

That’s it. Now you can connect to your terminal servers by just clicking on .rdp files.