And this also from Help:
To configure Windows shortcut keys in a session Open Remote Desktop Connection by clicking Start, clicking Programs or All Programs, clicking Accessories, and then clicking Remote Desktop Connection. In the Remote Desktop Connection dialog box, click Options. Click the Local Resources tab, and then, under Keyboard, select the option you want. This option affects the behavior of Windows shortcut key combinations (such as ALT+TAB) when you are connected to a remote computer. To configure your connection so that Windows shortcut keys always apply to your local desktop, choose On the local computer. To configure your connection so that Windows shortcut keys always apply to the desktop of the remote computer, choose On the remote computer. To configure your connection so that Windows shortcut keys apply to the remote computer only when the connection is in full screen mode, choose In full screen mode only.
Click Connect.
Notes CTRL+ALT+DEL always goes to the local desktop. If you need to send CTRL+ALT+DEL to the remote computer, you must use CTRL+ALT+END. To toggle between full screen and non-full screen mode during a Remote Desktop session, use CTRL+ALT+BREAK. When you click Connect, the information you enter in Options becomes the default setting for all Remote Desktop connections and is saved in a file called Default.rdp. To create connections with different or connection-specific options, see To save your connection settings to a file.