There's a couple of possible reasons for this. Most obvious is that you're connecting to a Windows 2000 Terminal Server via RDP, which does not support drive mappings to Windows 2000. Another possibility is that, even if you're using Windows 2003 Terminal Services and the Remote Desktop client, you have not enabled drive mapping on the Local Resources tab. Drive mapping is turned off by default.
Dig deeper on Microsoft Windows 2000 Server Administration
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