Sorry about that. What are your clients running? XP, Vista? Also, do you know if they are running the RDP 6.1 (which has the ActiveX control included)
Note:
The new RDP client has the ActiveX control installed for the web. Users will still be prompted to activate the control, but because it is already on the system they can do this with out need administrative privileges.
If you are on XP SP2, you will need to push it out. Downloadable from the links above. If they are on SP3, I believe it was included.