I encountered this problem several times. I want to use a character accessible using the AltGr Key but for some reason it doesn't work. As if i didn't press the AltGr key.
Usually i experience this in remote Desktop but not on my local machine. I think that this is triggered when doing a combination of those keys : Alt/Ctrl/AltGr/Shift + Enter. But i tried many of those combinations, and it didn't solve the problem...
I also figured out that i could access the characters i needed while doing Ctrl+AltGr+Key instead of AltGr+Key
I found a solution for my problem while writing my question !
Going into my remote session i tried two key combinations, and it solved the problem on my Desktop : Alt+Enter and Ctrl+Enter (i don't know which one solved the problem though)
I tried to reproduce the problem, but i couldn't... but i'm almost sure it's one of the key combinations described in the question above (since i experienced this problem several times)
So it seems the problem comes from the use of RDP (windows7 and 8)
Update 2017: Problem occurs on Windows 10 aswell.