Enable Remote Desktop Save Credentials

As default Windows OS does not allowed the users to save credentials when he/she connect to a remote computer.

maybe you'll see this notification : 

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

You should change this settings, with do this steps :

1. Click the Start button , type gpedit.msc, and then press ENTER.‌  If you are prompted for an administrator password or confirmation, type the password or provide confirmation.
2. Under Computer Configuration, double-click Administrative Templates, double-click System, and then double-click Credentials Delegation.
3. In the right pane, double-click Allow Saved Credentials with NTLM-only Server Authentication.
4. In the dialog box that appears, click Enabled, and then click Show.
5. In the Show Contents dialog box, click Add, type the name of the remote computer (server) in this format: TERMSRV\, and then clickOK.

hope it works 
http://windows.microsoft.com/en-US/windows-vista/Troubleshoot-Remote-Desktop-problems