Down the bottom right hand corner of the virtual machine connection window there are three icons that you may have wondered about:

 Capture2

The first icon indicates whether keyboard data is being sent to the virtual machine or not.  In the above picture key strokes will not be going to the virtual machine - I will need to click my mouse in the virtual machine first - which will result in this display:

Capture

Now keystrokes are going into the virtual machine.

The second icon is for the mouse - which behaves a bit differently.  The mouse icon will change to have a square around it (like the keyboard icon above) if the mouse is captured by the virtual machine.  This will never happen if you have integration services installed - so most of the time this icon will not change.

The third icon indicates whether the network connection that is being used for the virtual machine display and input is secure.  If you are running the virtual machine connection on the same computer as Hyper-V - this will always be secure.  Similarly - if you are running in a domain environment - this will always be secure.  If you are in a cross-domain or workgroup environment you may see this lock unlocked to warn you that we cannot guarantee that the remote server is trusted.

Cheers,
Ben