I have a very unique setup. I have my Mac OS X running Lion, using a full sized Apple keyboard. Then I have a Microsoft Remote Desktop Connection session to a Windows 7 machine. This session runs RoyalTS with lots of RDS sessions to various of my clients.

So to get the Ctrl+Alt+Del screen on the Windows 7 machine is easy. Either press Ctrl+Option+End or Ctrl+Option+Del. But to send that key combination to the RoyalTS session is another matter...

The solution is straight forward: Press Ctrl+Option+Command+End

Update: My setup changed a bit - here is a generic method that always seem to work:

1. Log in to the inner most RDS window
2. In the inner RDS window, open the On Screen Keyboard (osk)
3. On your physical computer, press the Ctrl + Alt keys.
4. Click (sometimes you need to click twice) on the Del key on the OSK.