For some reason, after users do the initial authentication, the system logs in (or unlocks) and locks the screen again within a few seconds (without dropping the RDP session). I've seen this on XP SP3 and Server 2k3. Clients are both major versions of the MS client, and rdesktop.
Update: We've seen the issue on a range of machines from 2k3 server (no logon/post logon scripts on servers) to XP SP3. Multiple machines have the same issue - even coming from a fresh and fully patched install.
I have seen this issue before but back a long time ago in NT days. There was a problem with the login script being run upon accessing the server via RDP that was mis-interpereted by the server and auto locked it. A problem if you had no way to do ctrl-alt-del on a rdp session.
Things i would try in order to narrow the problem down:
(this should tell you if its user or machine specific).
After that I would look at group policy stuff.
What os is the machine you are connecting to?
Not sure about remote session but have seen exactly the same behavior on local system logon: that was caused by removed or damaged userinit.exe ...