Há uma dúvida sobre um problema semelhante em technet (assunto: Windows Key "preso") . Detalhes abaixo:
If you are using Win Key + L to lock your desktop, this is a known issue. We have completed work on a fix that should prevent the problem in the future; to my knowledge it is due to be released with Vista SP1.
The bug arises most frequently when you use Win+L to lock your desktop while the Remote Desktop window has focus. It is caused by a synchronization issue between client and server that only arises on a subset of machines, possibly due to a driver or 3rd party software conflict that messes up the timing of the Remote Desktop client. There are a few ways to avoid this:
Don't use Win+L to lock your local desktop. Either lock your machine through the start menu or, if your machine is configured for it, Ctrl-Alt-Del and select Lock Desktop.
Make sure a different window has focus before locking your desktop.
If you have already encountered the problem, the "workaround" is much as you described:
Remove focus from the Remote Desktop window, by selecting another window on your machine, or minimizing and clicking the desktop of the local machine
Strike the Ctrl key 6-12 times. You mentioned the win key which probably works as well, but if you have somehow encountered this error on a machine that doesn't have a Win key, Ctrl should work as well.
Go back to the Remote Desktop window; the problem should be resolved.
Aparentemente, há uma correção no Windows XP Sp3.