For some reason, after users do the initial authentication, the system logs in (or unlocks) and locks the screen again within a few seconds (without dropping the RDP session). I've seen this on XP SP3 and Server 2k3. Clients are both major versions of the MS client, and rdesktop.
Update: We've seen the issue on a range of machines from 2k3 server (no logon/post logon scripts on servers) to XP SP3. Multiple machines have the same issue - even coming from a fresh and fully patched install.