Uncheck “Display the connection bar when in full screen mode”.
To get out of the remote desktop use a second monitor or use CTRL+ALT+Break. This will window the RDC. To go back to full screen use CTRL+ALT+Break again.
http://superuser.com/questions/214233/is-there-any-way-i-can-make-the-connection-bar-more-difficult-to-display-using