Troubleshooting steps for the inability to copy between a Mac and PC - http://mac2.microsoft.com/help/office/14/en-us/rdc/item/2aae839c-7f91-4738-aea7-9ffb25dbfe2e?category=ff488916-8b5e-4a0c-af96-37d065645612.
I think this answer will likely fix it:
Solution: Before you start the Remote Desktop session, make the Mac disks available to the Windows-based computer.
1.On the RDC menu, click Preferences.
2.Click Drives, and then on the pop-up menu, select the option that you want.
Your disk or folder is now available so that you can access files that are on your Mac from the Windows-based computer.
If you make this change after you connect, the disk or folder that you select becomes available the next time that you connect.
3.On the Start menu, click Computer or My Computer.
The Mac disk or folder that you have made available is listed with all other disks and folders on your Windows-based computer.
Note If you can't see the Start menu, on the View menu, click Full Screen.To return to window mode later, point to the top edge of the screen until the RDC menu bar appears. On the menu bar, click View, and then clear the Full Screen check box.
4.Open the disk or folder that you want to copy from.
5.On the Start menu, click Computer or My Computer.
6.Open the disk or folder that you want to copy to.
You should now have two windows open, one for the location that you want to copy from, and one for the location that you want to copy to.
7.Drag the document that you want to copy to the location that you want.