When I press Ctrl-Alt-Delete I can only open the Task Manager for the local PC.
Is there some simple way to open the Task Manager on the remote PC while running Remote Desktop from one Windows XP machine to another?
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You can set the Windows key combinations to go to the remote computer and use Ctrl-Shift-Esc to launch the Task Manager.
In the remote desktop connection options for Local Resources you have the option of where to apply Windows key combinations (On the local computer, On the remote computer, or only in full screen mode).
If you just needed to enumerate processes on remote PC, you do not need to establish RDP session.
Take a look at Remote Process Manager http://admintoyssuite.com/l/remote-task-manager--view-and-kill-processes-and-applications-on-network-desktop-computers/
I found this way more flexible than to disturb currently logged on user with RDP connection prompt. Remote Process Manager connects on-the-fly and do not show any question boxes to remote users..
If Jonas may have been meaning he had a windowed remote desktop session, and he wondered what keyboard shortcut would open Task Manager on that remote, there is a shortcut for that (not mentioned yet in other answers here):
Since he mentioned using ctrlaltdel, it seems most focused on showing how to do THAT against in the remote (windowed or not), or how to open task manager other ways in the remote. Those are not wrong answers, but if Jonas (or other readers finding this post) wondered if there was such a keyboard shortcut for a windowed RDP session, hope this helps.
I have a blog post with still more such shortcuts for a "windowed" remote desktop: Helpful keyboard shortcuts for working with "windowed" Remote Desktop: switching windows, more
You have to use CtrlF3.
The details are on my blog: How to Open the Task Manager on Remote Computer or Desktop
Ctrl+Shift+Esc doesn't work in windowed (non-full screen) mode. Host Task Manager will be invoked.
Ctrl+Alt+End doesn't work in nested RDP session. Menu for outer RDP session will be displayed.
If you need to start Task Manager to rescue your server in nested session / windowed mode - just switch to full screen mode temporary with Ctrl+Alt+Break where you can use Ctrl+Shift+Esc. This key combination will be send to the most nested RDP session in full screen mode.
Other cool tips: https://blog.codinghorror.com/remote-desktop-tips-and-tricks/