There are two ways you can disable this option. The first one would be to disable it globally on the terminal server by setting the right group policy.
The second step would be to disable this locally on the workstation from which you connect. To do this please execute MSTSC.exe by going:
Start -> Run -> mstsc.exe
When the mstsc.exe dialog shows up click on the Options button on the bottom left side:
Now click on the Local Resources tab and uncheck the Printers box from the Local Devices and resourcesgroup.
