You cannot. To be perfectly honest, most organizations do not allow users to store documents on their local PC. What happens if the hard drive is blown? You've now lost key, critical data to your organization.
the best way to do this is to redirect the users My documents to a file server. This way both the local workstation and the Presentation Server can connect to it.
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Jeff Pitsch
Microsoft MVP - Terminal Server
Citrix Technology Professional
Provision Networks VIP