Running a different program as a shell and logging out

I am trying to run the Citrix ICA client on a old W2K pc
as the shell. I have found in the registry where to do
this and it seems to work very well except that when the
user logs out of the Citrix session, it goes to a blank
blue screen. If you do the Ctrl-Alt-Delete and bring up
the task list, you can log out but I would like this to
happen automatically when the shell is closed. This will
help me set a relatively secure environment for public
users and will also let me use some old PCs.