It is not a good idea to let users install anything on a terminal server ! The reasons behind that, if a user does affects the environment, it goes wrong for many users, so a problem for one could lead to a problem for many and there is no monitoring procedure to monitor their activities or for install things. U may see the IE’s (or whatever u use) Advanced Security settings as well as the UAC. for preventing the users to activate ActiveX components.
My recommendation is….
U may proceed by installing this as a template user, then copying that to the default user !
Hope it may help u !