When you login to 6.0.5.0 with IE9 in compatibility mode and try to launch a ts proxy webapplication you get a message from IE that says :

Missing RDP ActiveX Control. Click the Information Bar to allow installation of
RDP ActiveX control.

The yellow bar never shows and you can click OK and the message goes away and
the RDP connection works fine.




This has been found to be an issue with IE 8 and IE 9 in comparability mode. This has been fixed in 6.0 SP6 and higher.
By default, IE will set computability mode automatically for any site in the Intranet zone.
Typically your domain is part of the Intranet zone and thus launching the ActiveX RDP control is broken.
The best fix is to update to sp6 or higher but you may also be able to disable computability mode in the browser to avoid the issue