If you're a system administrator working with remote desktop a lot within a somewhat restrictive domain environment, you may be frustrated by the following message:
There are a few tutorials on the net that say to remove this you just need to go into Group Policy and disable 'Do not allow passwords to be saved', unfortunately that isn't what this error message is related to. Instead, we need to change another part of Group Policy.
Hit Win+R to bring up the 'Run' dialog, enter 'gpedit.msc' and hit OK.
Go down the tree into Computer Configuration -> Administrative Templates -> System -> Credentials Delegation.
Now, you need to allow Allow delegating saved credentials and Allow delegating saved credentials with NTLM-only server authentication. For each, you'll also need to allow a set list of servers that are explicitely allowed to save credentials, you can enter IP Addresses, Server hostnames, AD Domain name wildcards, or just any old wildcard. Since I wanted to be able to store credentials for everything, I just used a plain wildcard, and you can too!
There we go, you'll now automatically connect to your servers!