I know this can be done, a former co-worker has made this work before:

I have created a new Windows2003 Terminal Server and wish to setup
WindowsMessenger 5.1x (for Exchange Client). How do I setup Messenger on the
Terminal Server to automatically take %username% from each session and
automatically login user to Messenger?

I am putting 40 users on this new Terminal Server and wish Messenger to
automatically work with no end-user interaction.