Command & Conquer Package shift f2 doesn't work?

I never heard of a Shift-F2 shortcut. What is that supposed to do?

C&C games cannot switch between windowed mode and full-screen, if that's what you're asking. A select few of them have a windowed mode by starting them with command line parameters (-w or -win or something), and the first two games have unofficial patches (C&C1, RA1) that add a windowed mode that can be enabled through their configuration, but none of the C&C games support switching between full screen and windowed mode during gameplay.

The normal shortcuts for switching to your desktop from a fullscreen application are Alt-Tab, Ctrl+Esc, or the Windows key. The usual shortcut for instantly closing an application is alt-F4, though I have no idea which C&C games support that one.