Now setting up Session Pre-Launch is a every simple task but I though I would would just add a bit more regarding the topic along with some screen shoots of how I set it up.
The pre-launch feature allows a pre-launch session to be created when a user logs on, pre-launch session reduces the launch time of the first application. The default application ctxprelaunch.exe runs in the session, but is not visible to the user. Also keep in mind that once a pre-launch session starts it does take a XenApp license regardless of whether a user launches an app or not and this setting will apply to all users.
1. First right click on an App and select other tasks> Create Pre-Launch application.
2. It will now create a PreLaunch-AppName application, me personally i like to change the name of this to PreLaunch-FarmName (Or something more descriptive) since you only need to create one PreLaunch per farm.
NOTE: Customizing the pre-launch feature using Administrative Templates is not supported. However, you can change the pre-launch configuration by modifying the registry values, located at:
For 32-bit: HKEY_LOCAL_MACHINE\SOFTWARE\Citrix\ICA Client\Prelaunch and HKEY_CURRENT_USER\Software\Citrix\ICA Client\Prelaunch
For 64-bit: HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Citrix\ICA Client\Prelaunch