When a user logs on to a Windows NT 4.0 Terminal Server in a Windows Server 2003 domain, they do not receive their Terminal Server profile or Terminal Server Home Directory.
This behavior can occur if the Windows NT 4.0 Terminal Server attempts an anonymous access to the domain controller and the Anonymous Logon and/or Everyone groups are NOT members of the Pre-Windows 2000 Compatible Access group.
NOTE Starting with Windows 2000, anonymous access was removed by default from the Everyone group.
NOTE: Anonymous Logon and Everyone must be in the Pre-Windows 2000 Compatible Access group.
See the following Microsoft Knowledge Base articles: