Mapping Home and End of Apple keyboard in VMWare fusion
KeyMap4MacBook can actually do this. As I told in the question, the problem is Windows and Mac OSX interpret Home and End differently. So what I needed was an app that allowed me to have different mappings for different apps (Windows is in VM Ware or Parallels, which are apps)

KeyMap4MacBook allows to have different key mappings for the Mac and different ones for VMs / Remote Desktops: