Are you getting a windows login prompt when you launch a published app? If you key in your credential then the application starts normally? At my customer environments I have seen this a few times and if you search around in Google you will find some posts of forums discussion about this and possible resolution.
If you are configuring SSO/passthrough to the Web Interface this usually means that your ICA client (PNAgent) is not configured properly for SSO. There is a good blog post on step-by-step guide on how to configure this. Also take a look at these CTX articles: CTX134280 and CTX133982.
If you are not using passthrough and still get this problem, then here are some suggestions on what to check. First, on the XenApp servers, bring up the RDS Configuration console and check the properties of ICA-tcp. On the “Log on Settings” tab, make sure that “Always prompt for password” is uncheck.
If that doesn’t help, another place to check is your Active Directory or local policies and make sure that “Always prompt for password upon connection” is not enabled.