If you are talking about Remote Desktop Connection from XP, go in My Document of each user, edit the Default.rdp file (Hidden File) and remove the logon for a blank one and save it. When the user gonna start Remote Desktop Connection, the blank will be change for is username.

You could also create RDP file that user will double-click to start. But if a user start the Remote Desktop Connection from the exe directly, is last logon is the same in the Default.rdp file.

Good luck.