By default the Citrix client can switch from full screen to windowed mode (with the SHIFT F2 hotkey) but it doesn’t minimize the window automatically.

It is a little exe that runs locally and registers the SHIFT F2 hotkey. When the Hotkey is pressed we determine if we are in full screen or in windowed mode and reverse that. When going from Full Screen to Windowed we minimize the Citrix Client and notify the user (by balloon tip) that he is on the local desktop. I called it the Citrix Desktop Switcher (sorry I couldn’t come up with a more original name)

Source: http://www.remkoweijnen.nl/blog/2009/06/12/citrix-desktop-switcher/