mstsc /console

I have a question. We have a terminal server, and when we do start run mstsc and connect to that ts, and run an application there, the application tells me that my permission failed. but if I do mstsc /console, and run that application, the application doesn't say anything... what's going on here? Is it the application or some permission has to be done on the TS so that when I type mstsc without console, I can access the app fine?

There is a local security policy setting that determines which users can logon to a terminal session on a computer. As the /console switch of the remote desktop client tells it to log you on to session 0 (the console session) then you do not encounter this problem as it is essentially the same as logging on when you are stood at the server itself.
You can find the permission here in the local security policy on the server (I would set it via a Group Policy if I were you but assuming you have no overriding group policies already then just setting it locally should be sufficient):
Local Policies -> User Rights Assignment -> "Allow Logon Through Terminal Services"

So you can either add your user account into that list or you can see which groups are already in there (I think Administrators and Remote Desktop Users are in there by default) and add your account to one of those.

Hope that helps :)