You can use describe-key (<f1> k) or describe-key-briefly (<f1> c) for any keybindings. Clicking a menu item also counts as a keystroke.
For example, describe-key-briefly on the copy menu item gives me:
<menu-bar> <edit> <copy> runs the command clipboard-kill-ring-save
Also, the x-select-enable-clipboard variable may be of interest to you:
x-select-enable-clipboard is a variable defined in `x-win.el'.
Its value is t
Non-nil means cutting and pasting uses the clipboard.
This is in addition to, but in preference to, the primary selection.
On MS-Windows, this is non-nil by default, since Windows does not
support other types of selections. (The primary selection that is
set by Emacs is not accessible to other programs on Windows.)
You can customize this variable.
To be honest, I find X Window's system of multiple cut buffers/selections confusing; my current settings work most of the time, except when they don't...