On my Windows server 2008 R2 – Remote desktop services from A to Z there were two questions…
How to setup Single Sign-on so users do not have to reauthenticate to get to remote desktop resources?
Here you have a screenshot of group policy that controls that:
More about single sign-on you can find on:
The second question was about AERO on RDS server… Yes, you can do that by folowing this tutorial: