In your day to day work, normally you will be using Remote Desktop or Connect to remote Computer using VPN.
But if you press Ctrl + Alt + Del or Crtl + Shift + Esc it will open the task manager of local computer.
Here I have given how to open the task manager of remote PC or desktop.
Select the remote application or desktop and press Ctrl + F3
Other Remote Session Shortcuts :
Hope this helps you...
Please comment if this helps you.... :-)