How can I type "\" (backslash) via remote desktop with a Norwegian, Danish or Swedish keyboard?

The problem was actually a bug in Remote Desktop for OS X, and has been fixed in 8.0.15, which was released a few days ago. Now the keyboard works completely as expected with both my Mac and the Windows computer configured with Norwegian keyboard layout.

When you are in the Windows RDP app you should be able to type in the Alt-Code for "\" (Alt-92) no matter which input source you have set. It's not ideal, but should get the job done!

Simply hold down the option/alt key and type 92.

For the record the Alt-Codes don't work in Mac apps.

http://en.wikipedia.org/wiki/Alt_code

You can find a full list of Alt-Codes at alt-codes.net

I use two languages, English and Romanian, and the keyboard is Romanian. From the language menu in the menu bar, you can click on the flag (if you dont't see it, just check System Preferences, Keyboard, Input Sources > Show Input menu in menu bar) and select Show keyboard viewer.

If you press CMD, Alt or fn, some keys from the keyboard viewer will change. Locate the "\" character in the viewer, it must show up when pressing one of the keys mentioned above. Then, to type the character, simple press the corresponding CMD/ALT/fn key + the key from the keyboard that changed beforehand.

Also check this Apple Support page: OS X Yosemite: Use the Keyboard Viewer