When trying to use the “Download Windows Remote Desktop Shortcut File” option within vCloud Director, it might be grayed out (unavailable).
The resolution is to select the Virtual Machine from the vApp Diagram and the link should become available.
More information can be found on the VMware KB article, located here:
http://kb.vmware.com/selfservice/search.do?cmd=displayKC&docType=kc&externalId=2009629