RDP directly into an Azure role instance without having to use the Azure Management Console (https://windows.azure.com).
1. Enable Azure RDP access by following these instructions: http://msdn.microsoft.com/en-us/library/windowsazure/gg443832.aspx
2. Open the Azure Management Console (https://windows.azure.com) and select the deployment you would like to connect to. You'll need the DNS name (Computer), Role Name & Role IDs.
3. Create a new RDP session with the following values:
Computer: Azure DNS (the name of the Azure Role deployment)
Role Name: Azure role name
ID: The azure role ID (if you have 8 instances running, then 0 - 7 are the IDs)
Is RDP access configured in your Azure account?