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.

Then:

1. Under GPEDIT.MSC, navigate to Computer Configuration\Administrative Templates\System\Remote Desktop Services.