There are different projects going on around this.. LTSP (Linux Terminal Server Project) is probably the most well known.
Just to hand over some pointers:
openSUSE has a wiki page:
LTSP - openSUSE
I'm not sure SLES is the best platform for your purpose -no specific development going on there-, but SLES 11 could probably be setup using info and packages mentioned on the openSUSE page (also check for SLES versions at
Software.openSUSE.org)
xrpd could be interesting to add in as it offers support for MS RDP so a thin client can connect using the RDP protocol.
As for using Zen App virtualization.. isn't that Windows only? Or are there Linux versions you are referring to?
Curious to know how you go with this!
Cheers,
Willem