The one problem I see, just like creating a shortcut on your desktop, is that unless you already make a connection to the remote system, the space in the RDP will either remain blank or will have the name of the last session. If you try to experiment this from your desktop, you will see what I mean. So setting up an automatic RDP session to one computer after another without typing it in is somewhat problematic, you need to create a script where the RDP program is first brought up then the computer name is inserted. Once this script is done, then you should have no problem, but that is the order in which you have to work in. I see no other way around it and I do a lot of RDP work and that is one of the problems I always run into.
Hope this at least points you into the right direction, but sorry I could not give you a straight out answer.