From the Windows XP Resource Kit

You can apply Windows key combinations to your Remote Desktop sessions, or you can use the following Remote Desktop keyboard shortcuts to perform many of the same functions.

</p>
Windows Key Combinations for Client Computer Equivalent Keys for Remote Desktop Session Description
ALT+TAB ALT+PAGE UP Switches between programs from left to right.
ALT+SHIFT+TAB ALT+PAGE DOWN Switches between programs from right to left.
ALT+ESC ALT+INSERT Cycles through the programs in the order they were started.
  CTRL+ESC Switches the client between a window and full screen.
CTRL+ESC ALT+HOME Displays the Start menu.
  ALT+DELETE Displays the Windows menu.
PRINT SCREEN CTRL+ALT+MINUS (–) symbol on the numeric keypad Places a snapshot of the active window in the Remote Desktop session on the clipboard.
CTRL+ALT+DEL CTRL+ALT+END Displays the Task Manager or Windows Security dialog box. (Only use CTRL+ALT+END to issue this command. CTRL+ALT+DEL is always interpreted by the client computer.)
ALT+PRINT SCREEN CTRL+ALT+PLUS (+) symbol on the numeric keypad Places a snapshot of the entire Remote Desktop session window on the clipboard.