Setting up a session is the most time-consuming task Citrix and Windows have to perform when a user requests an application. In the latest version of XenApp, Citrix added some features to anticipate the session setup (pre-launch) and to improve the sharing of the same session between different applications (lingering).
Session pre-launch is a new feature of XenApp 6.5. Instead of waiting for the user to launch an application, you can configure XenApp to set up a session as soon as the user logs on to the farm.
Note
At the moment, session pre-launch works only if the user logs on using the Receiver, not through the Web Interface.
This means that when the user requests an application, a session is already loaded and all the steps of the logon process you've learned have already taken place. The application can start without any delay. From my experience, this is a feature much appreciated by users and I use it in the production farms...