RDP do azure VM does not work...remains in con

are you trying from the portal? through site2site vpn?

Hi,

Can you let us know what exact error you are receiving?
Have you check firewall port on your side?

We need to properly forward the ports and also for RD Gateway setting. You can check below article for information.
Why doesnt remote desktop to my Windows Azure VM work?
http://blogs.technet.com/b/kevinremde/archive/2013/10/04/why-doesn-t-remote-desktop-to-my-windows-azure-vm-work-so-many-questions-so-little-time-part-48.aspx

How to Set Up Endpoints to a Virtual Machine
http://azure.microsoft.com/en-us/documentation/articles/virtual-machines-set-up-endpoints/

Hope it helps!

Thanks.