It gets really annoying sometime when you are forced to not use lots of very useful and time saving keyboard short cuts. Recently, while working on the remote machine using citrix, I was annoyed to death for not being able to use any of the keyboard short cuts, particularly the WIN key combinations and ALT + TAB. And I found this great piece of registry edit that made the life easier. Thanks Jon Williams for sharing it.
HKEY_LOCAL_MACHINE \SOFTWARE\Citrix\ICAClient\Engine\Lockdown Profiles\All Regions\Lockdown\Virtual Channels\Keyboard\TransparentKeyPassthrough
or in Windows 7 x64
HKEY_CURRENT_USER\SOFTWARE\Citrix\ICAClient\Engine\Lockdown Profiles\All Regions\Lockdown\Virtual Channels\Keyboard\TransparentKeyPassthrough
Set the value to be Remote and restart your connection
HERE is the original article by Jon Williams.