We love Terminal Server. We think its a pretty great solution for small businesses; put a little more money into a server and you can keep your older hardware around.
In setting up our terminal server environments, we like putting shortcuts to various shares on the desktop. However, the server always wants to convert them from \\server\data to their local equivalent, d:\data.
But a quick registry entry will eliminate that.
Create a new DWORD value of "LinkResolveIgnoreLinkInfo" in this key:
... and set it to a data value of "1"
Reboot and that'll do it.
(You can also put this in the CURRENT_USER key, but I'm not sure why you'd want to.)