When using RDP you may not be able to cut and paste information between your local and remote sessions.
Cause:
The rdpclip.exe processing may not be running on the remote system. Alternatively, the clipboard chain may be incomplete.
Workaround:
Restart the rdpclip.exe process on the remote system.
More Information:
The following article has a good article on Clipboard chaining;
http://blogs.msdn.com/ts/archive/2006/11/16/why-does-my-shared-clipboard-not-work-part-1.aspx