If you are using Vista, or the new Vista Remote Desktop Client on an XP machine you have run into the prompt warning you about the security of the server you are attempting to connect to. Well, I’ve finally found a solution.
Create a new DWORD registry key named "AuthenticationLevelOverride" without the quotes, in the registry path [HKEY_LOCAL_MACHINESOFTWAREMicrosoftTerminal Server Client] and set the value to one of 3 options, 0, 1, or 2. Refer to the KB http://support.microsoft.com/kb/895433 for details of the settings, but sufficed to say. Set it 0 to disable the prompt.
Hope that helps all of you that have been annoyed.