Disable Multiple Remote Desktop Sessions

I want to know how to go in the registry or terminal services management on my Windows 2003 server machine and disable multiple remote desktop sessions. I hate remoting in from one place and not getting my locally logged in desktop session, it generates a new session and lets you have multiple simultaneous different remote sessions open. I know this is a "feature" for some but it annoys me because I leave applications running locally and then remote in and cannot get to the already open documents etc.
Any help would be appreciated, thanks!
Babar