I recently had a customer with a bunch of older desktop machines that they wanted to turn into ​dedicated RDP thin clients - so that they booted up right into the RDP connection window and only ran that specific app.    I came up with the following set of steps, which is pretty straightforward and doesn't require any third party software or utilities.  Preferably these machines should be standalone PC's and not domain members.   Here are the instructions:

To setup a workstation for auto logon:

• Create a local account called localuser with a standard password
• Set the "password never expires" and "user can't change password" options, then set it's Profile/Logon script to logon.lnk
• Create a c:\locallogon  directory and share it with read-only access as  NetLogon
• Create a logon.cmd file in this directory that has the following contents:
• Start /nowait mstsc.exe
• Logoff.exe
• Create a logon.lnk shortcut file in this directory that points to logon.cmd, and set the properties of the LNK file to "start Minimized"
• Set the local group policy settings for both User and Computer to run logon scripts synchronously (i.e. computer configuration\admin templates\system\scripts)
• Create a reg file with the following contents and import it into the local registry

Windows Registry Editor Version 5.00

[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon]

"AutoAdminLogon"="1"

"LastUsedUsername"="localuser"

"ForceAutoLogon"="1"

• Open an admin cmd prompt and type  netplwiz      then uncheck "User Must Enter credentials" checkbox and then enter  "LocalUser" and the localuser password in the credential prompt.
• Now only the RDP connection window will appear upon startup and if the user closes out, the session will logout and then autologon as the localuser account again and display the rdp window.  

That's it.  

To bypass the auto logon loop,  hold down the shift key while the machine is logging off.