On a Windows-based host
If your laptop or desktop computer is using Windows as the operating system, independently of what you are running in VDI
In this case just move your mouse to the very top of the screen. You should soon get a menu with several options, including "Exit Fullscreen"
On a Mac host
If your laptop is a MacBook or you have another kind of Apple computer, independently of what you are running on VDI, it is a bit more complex as there are two possible full screen modes.
"Normal" full screen mode
With this mode you can do the same as with Windows, move the mouse to the very top of the screen and you will get a menu. In there you can deactivate the Window/Enter Full Screen option or just click on the green button at the top left corner of the screen. You can also use Ctrl + Command + F to enter or exit this mode
If you move the mouse to the top and don't see any menu, then you must be in the "exclusive" full screen mode.
"Exclusive" full screen mode
You enter this mode (which may be the default for some users) with the Ctrl + Option + Command + F key combination. In this case the guest OS takes a fuller control of all interactions and the only way out of it is via the same Ctrl + Option + Command + F key combination. Moving the mouse to the top end of the screen will not have any effect in this mode so you will need to use the keyboard shortcut to get out of it.