Controls whether passwords can be saved on this computer from Remote Desktop Connection.If you enable this setting the password saving checkbox in Remote Desktop Connection will be disabled and users will no longer be able to save passwords. When a user opens an RDP file using Remote Desktop Connection and saves his settings any password that previously existed in the RDP file will be deleted.If you disable this setting or leave it not configured the user will be able to save passwords using Remote Desktop Connection.
Windows Components\Remote Desktop Services\Remote Desktop Connection Client
At least Windows Server 2003 operating systems with SP1 or Windows XP Professional with SP2
HKLM\SOFTWARE\Policies\Microsoft\Windows NT\Terminal Services!DisablePasswordSaving