First you need to create VM in azure, after creation you will find as below, Here we have created VMTutorial VM, Below are the steps to connect to VM
Step 1: Click on Virtual Machines
Step 2: Now click on connect, RDP will downloaded now click on it(bottom right corner in below image)
Step 3: Provide Username, pwd which you have set when you created this VM
Step 4: You will find your VM :)
Step 1: Click on Virtual Machines
Step 4: You will find your VM :)