This may not be the desired user experience if the XenDesktop session is the user’s Main desktop. Users might need to access files saved to the local XenDesktop drives from within their published XenApp applications.
Changing a quick registry value on the XenDesktop machine will correct this issue. From the Support article : http://support.citrix.com/article/CTX238200
HKEY_LOCAL_MACHINE\SOFTWARE\Citrix\ICA Client\Engine\Configuration\Advanced\Modules\ClientDrive
Create the Reg Value: NativeDriveMapping
Reg Type: REG_SZ
Add the Value: True
This value will yield the desired results illustrated below :