Yup it's a group policy setting.... looks like this is do-able.
Start a program on connection
At least Microsoft Windows XP Terminal Services
Configures Terminal Services to run a specified program automatically
upon connection. You can use this setting to specify a program to run
automatically when a user logs on to a remote computer. By default,
Terminal Services sessions provide access to the full Windows desktop,
unless otherwise specified with this setting, by the server
administrator, or by the user in configuring the client connection.
Enabling this setting overrides the Start Program settings set by the
server administrator or user. The Start menu and Windows Desktop are not
displayed, and when the user exits the program the session is
automatically logged off. To use this setting, in Program path and file
name, type the fully qualified path and file name of the executable file
to be run when the user logs on. If necessary, in Working Directory,
type the fully qualified path to the starting directory for the program.
If you leave Working Directory blank, the program runs with its default
working directory. If the specified program path, file name, or working
directory is not the name of a valid directory, the terminal server
connection fails with an error message. If the status is set to
Enabled, Terminal Services sessions automatically run the specified
program and use the specified Working Directory (or the program default
directory, if Working Directory is not specified) as the working
directory for the program. If the status is set to Disabled or Not
Configured, Terminal Services sessions start with the full desktop,
unless the server administrator or user specify otherwise. (See Computer
Config\Administrative templates\Windows Components\System\Logon\Run
these programs at user logon setting.)
Note: This setting appears in both Computer Configuration and User
Configuration. If both settings are configured, the Computer
Configuration setting overrides.
An open letter to the Security Community::