Navigating nested RDP sessions

Uncheck the pin on the "outer" RDP's toolbar to hide it. You can still get to it if necessary (hold the mouse against the edge of the screen), and any inner RDP connection toolbars will be visible.

Alternatively, other RDP clients such as Remote Desktop Manager might have a different toolbar when you run them full screen, so you'll know the custom toolbar is for the outer connection and the standard toolbars are inner connections.

Edit: Microsoft Remote Desktop Client 7.0 allows you to move the RDP toolbar from side to side by dragging it. You can move the outer toolbar to the side so you can tell it apart from the others.

I generally try to set the "inner" session's resolution to something slightly less than the outer RDP's "fullscreen" size. That negates the overlapping RDP command tabs at the top, and the aggravation of competing task bars that may or may not be set to Autohide (or worse, both set to not Autohide, leaving one forver hidden.)

Once I have the settings the way I want for the inner one I just save a .RDP with the dimensions I want, ensuring I don't have to twiddle manually every time I connect.