For a while I was living with a “ICA file not found” error whenever I tried to run a published app that I had access too. My initial solution was to right-click, save target as, then manually run the launch.ica file that was saved. Pretty lame. So here's the real solution. In IE, go to tools > Internet options, then click “delete files” to delete you cached files. Then close IE and re-log in to Citrix. You shouldn't get that ICA problem.
Here's another Citrix related comment. If you're going to run the web interface on the same box as the citrix farm, you will have to change the port of the XML configuration service, otherwise it will conflict with IIS and the web interface site (since they both use 80). You can change the port in the Citrix Management Console. Go down to server, select your server, right-click, go to properties. Then click on “MetaFrame Settings”. You should see an option on the right to change the Citrix XML service port. You'll have to tell the web interface that the port is different too, don't forget.
Another thing we had problems with came during the installation of the web interface. Early on we removed the defaultAppPool in IIS for security reasons, which turned out to be a mistake. Since it wasn't there, the web interface couldn't correctly add the site in IIS, which caused all sorts of problems. So now, we won't do that.
There's still so much I don't know about Citrix. I'm going to take a week long training course soon though and then try to get a CCA.