Configured an access policy following the PCM manual. However, when the session starts, it just opens a normal RDP session, and does not launch the command as it supposed to.
Please note that Windows XP does not support the ability to specify an alternative shell as a connection option when connecting to it via an RDP client. For that reason, the command management option will not work with XP clients.
There is also a known issue with connecting to Windows 2008 clients (please refer to the release notes under "Third Party Known Issues"):
"Known issue when trying to use Privileged Command Manager for Windows 2008 systems. Microsoft article KB969851 describes the issue of the user having control of the desktop even when a specific program is specified. Please contact Microsoft to obtain a fix for this issue."