What software do you use to connect to the remote PC, mstsc (Windows' Remote Desktop Client)?
I'm using Terminals (find it here
), and that supports the use of Win-Arrow, Alt-Tab, etc. inside the remote system, instead of acting on your local Windows box, unlike the standard Remote Desktop Client, even though Terminals is using the Terminal Services ActiveX control. It just works. And you have all your remote desktops in one tabbed window.
A very happy user here (no connections with the maker), highly recommended