thin client running XP embedded?

My company is experimenting with the wyse s90 thin client as a way to improve performance over our more traditional thin clients. These s90’s have XP embedded loaded on them and have EWF, a write filter that basically erases all local user data each time they are shut down.

I can configure programs to save documents to a server but how do I save the user’s desktop folder without using roaming profiles? Does anyone have any experience on how these are deployed in a real world situation? Any advice or suggestions would be appreciated.