To work around this problem, in the Program path and file name box, enclose the path of the program in quotation marks. For example, to start a program whose path is C:\Program Files\Microsoft\Program.exe, use the following path:
"C:\Program Files\Microsoft\Program.exe"

To use this feature, start Remote Desktop Connection, click Options, click the Programs tab, and then click to select the Start the following program on connection check box.