Step 1. Login into your Microsoft Azure Account.Now Click on already created server on which you want to take a Remote Session.
Step 2. Now click on connect button on the top of the page.
Note : Once you will click on the connect button it will download RDP file on your local system,which will be used to take a remote session on your already created server.
Step 3. Click on connect to take Remote Login on your already created server.
Step 4. Enter your Credentials and click on ok to continue.
Step 5. Click on Yes to Continue.
Step 6. Now you are successfully Login in your windows server.