RDP Cut or Copy and Paste does not work
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.
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