Like you, I've struggled with having a Microsoft Windows client computer remember RDC session passwords. On a Windows7 machine, try this:
1. Open GPEDIT.MSC with Admin Privs. Using a Win7 edition without GPEDIT.MSC installed? Follow these instructions.
2. Navigate to Computer Configuration\Administrative Templates\System\Credentials Delegation.
3. On the right pane, double click Allow Saved Credentials with NTLM-only Server Authentication.
4. Click Enable.
5. Press the SHOW button.
6. In the Contents dialog box, ADD this expression: TERMSRV/* - this says allow all connections to any terminal server with stored NTLM credentials.
7. Confirm/OK all.
1. Under GPEDIT.MSC, navigate to Computer Configuration\Administrative Templates\System\Remote Desktop Services.