1. Login the Azure portal.
2. In Search box, type virtual machine and select Virtual machine.

3. Virtual Machine window is open and show list of machine created by you. I have two machine created one for windows and other for linux as listed below:

4. Connect with Window machine. Click on window machine VM1.

5. Press the Connect button as shown and select the way of connectivity. I select RDP for window machine.

6. It will open the RDP screen from where you can download RDP connection.

7. Double click the downloaded RDP file. It will open window and ask for CONNECT. Enter username and password for the Windows machine created while creating the virtual machine.

8. You are able to login with your window virtual machine created in Azure cloud.