I'm having problems with this at this very moment. We initially tried putting the FE in each user's "My Documents" folder but ran into an issue with that.
Then we put the FE on a network drive and are having problems with that.
Not sure what we'll end up doing but I'll keep you informed as to our progress (if any). You do the same?
Also, I think there's a Citrix/Access advocate on the forums. Anyone wanna chime in?