I'm using a windows xp client to connect remotely to windows 2008 server. Suddenly keyboard shortcuts such as ALT+TAB or Win+R were captured by my local machine, even though the RDP client is configured to use them on the remote machine (Local Resources tab).
Also the Win key gets stuck a lot on the remote machine. According to
Microsoft there is a bug in RDP that causes that if you use the keyboard shortcut Win+L to lock your machine while RDP session is in focus.
None of the workarounds unfortunately worked with me and I do not want to use the
alternate shortcuts for RDP. The real problem in my case was that the "Terminal Services" service was disabled, running it back made the key presses go through to the remote machine.