The Ubuntu VM’s available from the gallery on Windows Azure don’t come with a desktop GUI – you need to work with the server using an ssh client like putty. There is no harm in setting up an alternative way to connect just in case you have a runaway server. Below are the steps involved to set up RDP access.
Install Ubuntu Desktop
First you need to install the desktop
sudo apt-get install ubuntu-desktop
Install xrdp package
sudo apt-get install xrdp
Enable an RDP endpoint from the azure management portal
On to the management portal you need to enable a UDP endpoint.
Start your RDP session
Now fire up your remote desktop client and enter the public dns name of the server