I experience many situations where I need to connect to Windows over remote desktop. Until now I have just used tsclient, with a basic setup. Today I was too annoyed by the fact that AltGr and other keys don’t work on the Windows side in this basis setup.
Tsclient uses rdesktop behind the GUI, and rdesktop has a keymap parameter. This option is though not available from the Tsclient GUI. A small research later, the solution is calling rdesktop from command-line.

rdesktop -u "USER" -p - -g 1500x1096 -k da -T "TITLE" "HOST"

Here I have chosen the da keymap, equaling danish, and now all the characters is working.