d1n0nly

I have a problem with my Windows 2003 Server OS. Every time I end my Windows Session with Remote Desktop and leave some applications runnig, they stop working as soon as I end the session. When I log on again, I always discover that none of the programs are working. I used some other servers before and never had such a problem, I assume it's something to do with Security Policies but could not find anything wrong. Could you please help me?