A pretty thorough explanation on how to use the new RDP connection bar effectively in Win7 / 2008 R2 connections.

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.

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.

This way, these administrators only enable RDP access to one external computer, which could be a Windows Server 2003 or Windows Server 2008, or even a Windows XP Pro machine. From there, the connected administrator opens another RDP connection to internal machines, performing an RDP-in-RDP session.

Now, the nasty part is that when doing an RDP-in-RDP session, the yellow RDP bar or tab sits one on top of the other, making it hard to minimize one screen instead of the other.

Source: 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