It sounds like the application was not properly installed for the Citrix environment. When you installed it, did you go through the autorun on the cd? If so, you need to uninstall it, and then reinstall using the Add/Remove programs applet in control panel. This allow the app to be installed in a specific way for the server-based environment. Be sure to specify that "All users begin with common settings" (the default).
Alternatively, you can open a command prompt, run "Change User /Install", let the autorun perform the setup, then go back to the command prompt and execute "Change User /Execute" BEFORE YOU LAUNCH THE APPLICATION FOR THE FIRST TIME.
This allow setup to place user-specific settings, such as mailbox and server name, location of help files, etc. in a central place that can be accessed by all users. It won't run properly otherwise. When the app is launched from the server console, it acts like a standalone application, so everything works fine.
