Windows Server 2003, start program on RD-connection without disconnecting at finish

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http://serverfault.com – I've got an rdp file which I use to connect to a specific user. In this file, I've specified a batch script I want to be run on connect. However after the script is run on, I get disconnected. If I try to run mstsc my-connection.rdp /console I get logged in alright, but my script isn't run. What I want is a normal RD-connection, with this script run in the background, and when it's finished, my connection will remain. I'm sure there's a simple solution to this, but I'm not sure how to do it. (HowTos)