In order to connect to your Ubuntu VM from a Windows first we have to enable the XRDP in the Ubuntu in order enable the Remote Desktop Connection.
So to enable XRDP we should connect to the server, PUTTY is a the commonly used client for SSH. (SSH is enabled by default in the Ubuntu VM on Azure). Download PUTTY from here and follow the steps in this article to connect to the Ubuntu server.
Once connected with username (azureuser) and password execute the following shell command to enable XRDP on the server
sudo apt-get install xrdp
After executing the command go to Microsoft Azure management portal and Add the Remote Desktop Connection endpoint for the server. Once you’ve added this endpoint you can see the connect icon is back to live (earlier it was grayed out) click on the connect icon and download the RDP file for the Remote Desktop Connection.
Now you can connect to your Ubuntu VM from Windows.
Note still your Ubuntu environment has the shell, if you want to enable the interactive desktop execute the following commands in the connection you made.
First I executed this.
sudo apt-get install ubuntu-desktop
But things there was message saying to run the update, so I executed the update with this command and executed the install command again, everything was fine and smooth.
sudo apt-get update
Close the connection and connect again, (logoff and reconnect) you will be welcomed with the Ubuntu desktop experience.
For this demonstration I used Ubuntu Server 12.04 LTS