Tips to install Sap Gui On Windows Terminal Server 2003

Does anybody know any method to install SapGui on Windows Terminal Server 2003 to share it to many users ?

The problem is: when I try to install Sap Gui 6.40 via Control Panel-Add/Remove Programs it tells me that I must change the mode with "change user /install". I dont know the reason why it reports me that if I do it via Control Panel. And if I do that and then I launch the installation again it reports me the warning again.

What should I do ?

Thanks in advance for your help.