Cannot save files from SharePoint to local hard drive when using Citrix

When trying to save files over Citrix from a SharePoint document library to my local hard drive (C$), I get permission errors saying that the file is read only.  I think this has to do with security settings within the Citrix Client but can't find where to make changes.
DucommunAsked:
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BLipmanCommented:
When you are in the session, find the little Citrix icon in the lower right corner of your screen (system tray).  Use this to open the Connection Center and then click on File Security.  
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