运行以下文档: 

Run through the following doc: 

https://docs.microsoft.com/zh-CN /azure/virtual-machines/troubleshooting/troubleshoot-rdp-connection

如果没有帮助，请向我提供您遇到的错误以及一些其他详细信息，例如，这是新的VM吗?和现有的一个?做任何更改?

If it does not help, please provide me with the error you are getting and some additional details, such as is this a new VM? And existing one? Any changes done?