736xl,
Ideally, all "business" related data should be getting saved to centralized server shares only. If this is the case, and all data is saved to your S: drive (for instance), then S: would be available to users whether they were logged in to a computer locally or logged into a RDP session.
You can use Group Policy to automatically redirect everyones local My Documents to server network shares. Again, this way everything is centralized.
As lhuegele was saying, if ALL you need to improve is the performance of this particular application for your users, then you can simply create RDP sessions that ONLY run this application. As soon as the user exits the application, the RDP session logs off. You could have a RDP shortcut on each user's desktop, which ONLY runs your application within it's own RDP window.