RDP is a proprietary protocol developed by Microsoft. It enables a user to connect to a machine remotely in order to perform operations on the remote machine. It is useful in scenarios where a user needs to connect to their Azure vm in order to make changes to files or configurations. RDP is one of several connection methods available, steps to enable access (described here) will be similar for other methods.
On your Azure VM, navigate to the Connection troubleshoot screen and test existing connection for RDP. By default, this connection is blocked.
2. Create a new security rule
Create a new rule, using port 3389. Note this configuration is not recommended for Production environments and is suitable for testing only.