Remote Desktop connection is ignoring saved credentials

I have an RDP (Remote Desktop connectin) file.
When I view/edit the file I can see that the username and password are stored in it,
but when I connect to the remote server using the file the server shows me a login prompt with empty username and password.

Does anyone know what may be the problem?
Is there a server setting that controls this behavior?

Answer

Turns out this indeed is configurable via Group Policy (in my case controlled via Windows domain). See this link: http://support.microsoft.com/kb/281262