Cannot run a program from RDP in 2008 TS, get Access is Denied.

Only an admin can change that setting.
To change it for all users, do this: http://technet.microsoft.com/en-us/library/cc770821.aspx
Or, create an RDP with the program listed on the Programs tab and deploy it to your users.
Or, include it in a login script which can then be specified on a per user or group basis.

I don't think I made myself clear.  When I log into my cluster I can run the program fine. However, under the Remote Desktop Connection on my pc when I change to the tab Programs and add the "Start the following program on connection" and add the same program it gives Access denied when I log into the same cluster.

Your login has to be an administrator account to change it.

I figured it out.