When trying to use saved credentials in Remote Desktop Connection you might receive this message:
Your credentials did not work
Your system administrator does not allow the use of saved credentials to log on to the remote computer terminal.server.com because its identity is not fully verified. Please enter new credentials.
To be able to use saved credentials in this situation you need to do the following:
1. Open Group Policy Editor via cmd -> gpedit.msc (screenshot)
2. Navigate to Local Computer Policy\Computer Configuration\Administrative Templates\System\Credentials Delegation\
3.Open Setting Allow Delegating Saved Credentials with NTLM-only Server Authentication, set it to Enabled click on button Show... and in Show Contents window add Value TERMSRV/terminal.server.com. Close all windows by pressing OK. (screenshot)
4. Run cmd and enter gpupdate command to update your policy. (screenshot)
Now you should be able to use your saved credentials.
these steps were performed on Windows 7 beta, but probably it will stay the same in final release and my guess is, it is the same in Vista (too lazy to check).