Web Browsing in Wn2K Term Server Session

We have a single Windows 2000 Terminal server. When users connect through RDP- they are unable to surf the web because they are never presented with login options for the proxy server. However-once I log in locally to the console with the users info – they are presented with proxy login settings. There after the user can then surf the web remotely through RDP session. In other words- the only way I can get the users to surf (get proxy login) is to log them in first at the server desktop.

Is there a way around having to do this?

jaime