Connecting to RDP automatically with AD credentials.

I was wondering if this can be done.

I have computers joined to the domain, and would like to lock them down so that when the user logs in using AD credentials the computer automatically executes remote desktop and uses AD credentials. We don't want the users to do anything else but use the program provide by the RDP session.
We RDP into a terminal server through a VPN connection.

Any input on this would be great.
Thank you

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