GPO to prevent write-access to Documents and create desktop shortcut to U:

So, we have 3 terminal servers (VMware machines) that our users RDP to. The thing is, we use DNS round-robin for load balancing, but some users are saving items to his/her desktop, documents, etc, then later getting a different TS and are confused as to where their data "went." There is no replication setup between the machines and we don't want to implement that because it would bloat the VM's C:\ drives. 

We need to prevent users from saving to Desktop, Documents, etc and make them use their Mapped User drive instead. How can I configure a GPO to disable write-access to Desktop and Documents. Also, If I can push a logon script to create a desktop shortcut to his/her U: drive, that would be ideal. Thanks in advance!