When you try to connect to a server by using Remote Desktop Connection with a new user account, some registry subkeys that are related to Microsoft Internet Explorer or Windows Internet Explorer may be missing. This problem occurs if the server is using Internet Explorer as a shell.
The toolbars in Internet Explorer may not be displayed correctly or may be missing. Home pages and proxy settings that are defined by Group Policy settings may not be applied.
When you investigate the registry for that user profile, you see that many subkeys are missing in the following subkeys:
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
In Microsoft Windows Server 2003, the IEHarden key is not created, and you are not prompted that the site is not in a secure zone. Active Setup also does not run when Internet Explorer is not set up as the shell when you log on for the first time.