Yes, I do. The solution is quite simple. On your Citrix server each user has his/her own settings, located in C:\documents and settings\USERNAME\windows. These maps all include a file CBOX.INI, in which you can change the MachineName entry (now probably Anon1, Anon2 etc) to MachineName=USERNAME.
You'll understand that USERNAME should be replaced by the actual user's name or whatever you wish to call your users.