If you have an interactive application running on a machine that you have open in an RDP session and you want the app to continue to run when the RDP session is minimized you'll have to make some changes to the registry on your computer (not the remote computer).
Original blog post
The general steps are to modify the registry by doing the following:
locate the key:
HKLM\Software\Microsoft\Terminal Server Client\
add a DWORD value in this key, naming it "RemoteDesktop_SuppressWhenMinimized", and give it the value 2.
If you're a 64-bit client, add that value to this key:HKLM\Software\Wow6432Node\Microsoft\Terminal Server Client\