It is currently not possible to directly map a drive letter to a redirected folder when connecting to a server using Microsoft RDP. Most programs do not require a drive letter but in case you do need a "local path", you can create a symlink in order to achieve this.
MKLINK /D C:\MyFolder \\tsclient\MyFolder
This will create a "symlinked" folder on your C-drive, which you can then use to work with files and folders of the redirected folder. The symlink is persistent across reboots.