In previous version of Windows, the remote desktop client, mstsc.exe, used to have a yellow tab on top of the screen, viewable when using the RDP connection in full screen. This tab could be fixed to the top of the screen, or minimized when needed.

So far, so good.

Now imagine this: You're using a Windows Server 2003 or Windows Server 2008, or even a Windows XP Pro machine as an RDP Gateway to other servers/computers on your network. This is a very common usage scenario for many organizations that need to enable remote administrators' access to their internal servers, but do not want to enable RDP access to the entire set of internal computers. In addition, this scenario is useful for administrators that do not have VPN or SSL VPN infrastructure that allows them to connect to any computers that they need on the internal network.

The rest is on Petri's blog :

http://www.petri.co.il/easy-navigation-between-rdp-sessions.htm?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+Petri+%28Petri+IT+Knowledgebase%29