With Windows server 2003 I was able to make a RDP connection and launch a "published" program upon connection rather than bring up a desktop. Why does this not work with Server 2008?

On Windows Server 2003 Microsoft allowed using the built in 2 administrative connections to launch programs upon connection. Typically these are called published applications. 

On Windows Server 2008 this ability has been removed and you must have the Terminal Services Role installed and licensed. 

Per Microsoft : Under Server 2008 the TS role needs to be installed to enable the start the following program at logon feature. Please note, under the license agreement the two "free" connections are for administrative purposes, not for allowing remote access to an applications for end users.