Many times I wanted to get rid of that annoying certificate warning message when I make a RDP connection to a RD Session Host server or a workstation. If you are using RDP inside an Active Directory network, the warning is gone, because the connection is using kerberos for security, but if you are connecting from outside to the inside, well…you will be prompted to accept the server certificate, and this is because the certificate is self signed and is not trusted. The following method works for clients OS (Win XP, Vista,7) too, not just for RD Session Host servers.
To install a trusted certificate I will use a script that I found on Microsoft technet. For this guide an Enterprise Internal CA will issue the certificates since is cheaper and much easy to work with, but if you have a lot of external clients a commercial certificate is recommended. To start we need to request and install a certificate on the local computer store on the RD Session Host server. For that open the Certificates Store console (Start > Run > mmc), select Certificates and click the Add button. On the wizard that just popped-up choose Computer Account > Local Computer.