Hi,
I would suggest you to follow the troubleshooting steps to close and logoff from the remote session.
How can I disconnect from a Remote Desktop session?
To disconnect without ending your Remote Desktop session
You can temporarily disconnect from a session by clicking the Close button on the connection bar (the horizontal bar at the top of your screen). This leaves your programs running so that, next time you connect, you can continue where you left off.
To end your Remote Desktop session and disconnect
In the Remote Desktop Connection window, click the Start button, click the arrow next to the Lock button, and then click Log Off.
Reference:
Changing Remote Desktop settings
http://windows.microsoft.com/en-US/windows-vista/Changing-Remote-Desktop-settings
I hope this information helps. Please get back to us if you have any more questions about this issue.