You must enable RDP in the Citrix Web Interface site.
Choose
          Start > All Programs > Citrix > Management Consoles > Citrix Web
            Interface Management to access the Citrix Web Interface Management console.
Select the Web Interface site and click Client Deployment from the
          Edit Settings pane on the right-hand
          side.
On the Manage Client Deployment screen, select Remote Desktop Connection
          (RDP), as shown below:
Click OK.