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If you can't see this window, you may have an automatic login setting enabled. In this case, go to the contextual menu (if in full-screen mode, move the mouse pointer to the top of the screen and wait until a top bar menu shows up). Then go to "Window" and select the "VmWare VMware Horizon Client" option at the bottom.
If there is not a "VMware Horizon Client" option at the bottom, go to "Connection" instead of "Window" and select "Log Off" from the menu, so you can see the desktop selection screen and go to the next step:
While there are also "shutdown" and "restart" options from the desktop itself, these require "root" access at this time, so they won't be accessible to users:
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