Is there a way to create multiple rdp files for all active directory computers including last logged in user?

"last logged in user" is an issue. You can create RDP files for each machine, though that is not required if only changing the host (which can be provided as parameter of mststc), you can modify the RDP template file to contain an individual user name for each call, but the password is stirred encrypted and is only valid for the machine and user having encrypted it.

What exactly do you want to achieve?