How to save RDP credentials into a file?

Open the Group Policy editor (Start > Run > gpedit.msc) and navigate to Computer Configuration -> Administrative Templates -> Windows Components -> Remote Desktop Services -> Remote Desktop Connection Client

For value Do not allow passwords to be saved, change to Disabled.

When connecting to a machine in Remote Desktop Connector, expand the Options panel and confirm that Allow me to save credentials is checked.

Actually found a link (archive.org) that solved this problem:

1. Hit Start –> Run and type "gpedit.msc".
2. Navigate to Local Computer Policy –> Computer Configuration –> Administrative Templates –> System –> Credentials Delegation.
3. Double click the policy "Allow Delegating Default Credentials with NTLM-only Server Authentication".
4. Set the policy to “Enabled”.
5. Click the Show button and enter the string “TERMSRV/*” into the list. You can also be more specific here in case you don’t want to allow the use of saved credentials with all remote machines but rather just a select few.
6. Click OK twice to close the policy. Repeat steps 3–6 for the following policies:
   1. "Allow Delegating Default Credentials"
   2. "Allow Delegating Saved Credentials with NTLM-only Server Authentication"
   3. "Allow Delegating Saved Credentials"