Hey there Karan Sharma
Thats a good question and thanks for using QandA platform.
In the Search box, type RDP, and from results choose the RDP app.
Click on Get.
Open the app and click on Add PC.
Give the PC Name (Host Name or IP Address)
Now Add a User Account by giving the Username and Password and click on Add.
Now your remote desktop is working.
Follow this below documentation for a detailed inf0.
https://learn.microsoft.com/en-us/azure/lab-services/connect-virtual-machine-mac-remote-desktop
If this helps kindly accept the answer thanks much.