im assuming your running XP in which case make sure you've got SP3 installed.....
To access RemoteApp programs through TS Web Access, the client computer must be running RDC 6.1. RDC 6.1 is included with the following operating systems:
* Windows Server 2008
* Windows Vista with Service Pack 1
* Windows XP with Service Pack 3
What new functionality does this feature provide?
Ability to run programs remotely
Users can run programs from a terminal server and have the same experience as if the programs were running on the end user's local computer, including resizable windows, drag-and-drop support between multiple monitors, and notification icons in the notification area.
hope this helps