Office 365 VDI - Prevent auto-open files on start

Hello,

We have deployed Office 365 in a Citrix environment - mostly for opening Excel and Word Files from our Electronic Document Management System.

But when opening e.g. an Excel file from the EDMS, Excel will also try to auto-open whatever file the user last had open in Excel on his/her local PC.
This results in an error like: " We could not find "C:\Users\Username\Desktop\Filename.xlsx"