Whenever you run the TS Client without specifying an explicit RDP file, the settings used for the remote session are always automatically saved back to Default.rdp. This is a hidden file located in your “My Documents” or “Documents” folder:

C:\Documents and Settings\user1\My Documents>attrib
A    H     C:\Documents and Settings\user1\My Documents\Default.rdp

If you wish to use an RDP file other than Default.rdp, you can specify the RDP file directly from the command line:

mstsc myrdpfile.rdp

Or, you can click Open, select the RDP file, and then click Connect.