2003 Server standard

I have remote users logging in on a Windows Server 2003(standard) using Terminal Services and remote desktop on their end. I have it set to automatically run a program when they log in. But when they exit out of this app.; they are exited to the server desktop, which I do not want them to be able to. I just want them to disconnect the session and exit back out to their own local pc desktop once they are finished with the application. How can I do this?