Ok lets recap...
Thinstation (that TS-Multiclient-Desktop-LiveCD-Demo.iso) is the stuff that should be runned (booted from) on the workstation you want to use as a terminal client.
Normally such terminal clients run without harddrive (since none is needed) and boots from CD/DVD or USB or PXE (over network).
Having that said the Thinstation can of course also be runned from within VMware and/or VirtualBox.
That LiveCD-Demo is a complete set of tools where in your case you perhaps only need the RDP-client and not the other stuff. If so then you can download and install Devstation on a separate box (or in VMware/VirtualBox) in order to create your own set of custom ISO-files to be used.
The Devstation server can also be used as host for PXE booting to function.
For more information see here:
https://github.com/Thinstation/thinstation/wiki/FAQ