When you create a new virtual machine, all traffic from the Internet is blocked by default.
To enable the Remote Desktop Protocol (RDP) port in a network security group to which the network interface is attached, follow these steps:
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Sign in to the Azure portal.
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In Virtual Machines, select the VM that has the problem.
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In Settings, select Networking.
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In Inbound port rules, check whether the port for RDP is set correctly. The following is an example of the configuration:
Priority: 300
Name: Port_3389
Port(Destination): 3389
Protocol: TCP
Source: Any
Destinations: Any
Action: Allow
If you specify the source IP address, this setting allows traffic only from a specific IP address or range of IP addresses to connect to the virtual machine. Make sure that the computer you are using to start the RDP session is within the range.