Hello AgneteA
It might be because you havn't choosed the option to start remote desktop connection with the specific drive. Follow the guide below and see if that helps.
1. When you open Remote Desktop by going to Start > All Programs > Accessories > Remote Desktop
2. Click on Options, then click on Local Resourcesclick on More tab, and then choose drives
3. Click on Ok. then click on Connect. Once on your terminal server session, click on your “My Computer”icon, and the local disk drives on your computer should show up on your terminal server session
If you got more questions regarding this issue or another one you need to post it on the English support forum as this is the Danish forum.