it doesn't sound like a server issue, it sounds like a Firefox MIME type issue to me.
try editing your MIME types with the MIME Type Editor extension. You can find it here under the "Downloading" header about one third of the way down the page.
With this extension you can edit Firefox's settings for the .rdp extension, and hopefully it will let you set it to open the file by default. You may end up having to add the .rdp file type into this extension as a MIME, and if you do need to add it, I think that was your original problem. I believe when Firefox encounters an unknown filetype, it will not open it, only save. Can anyone confirm this?
Hope that helps otoomet! cheers!