Courtesy the Citrix Forums:
1. Open Delivery Services Console, expand XenApp, expand your farm, select Policies.
2. Select the User tab, select Unfiltered, click the edit button.
3. On the Wizard’s first page, click Next.
4. Select ICA under Categories.
5. Under Settings select Desktop Launches, click Add, select Allowed
6. Click Ok, click Save.
You should be good to go.
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