This could be anything from a permissions issue, to an improper path to the program executable.
As a start, you might try looking at the properties (especially on the Application tab)for the ICA connection on one of the workstations where the connection appears to work properly. Compare with the settings on you
ICA connection to see if they match.
If other users can connect (and automatically launch apps), the problem is either your account on the Citrix server or the configuration of your connection. Can you connect using your account from one of the other workstations?
Hope this helps.