How to connect to Linux VM in Azure

You cannot connect to Linux VM using Windows remote desktop connection (RDP) by default.
To connect to Linux VM on Azure you will need to make use of Putty.
Putty is available on

Log into Linux using the Linux VM IP address

Use Putty to connect to Linux VM. Enter your username and password.

Enable Linux Unity Desktop Interface

Unity desktop is not enabled when you provision a Linux box in Azure.
To enable Linux interface issue the following command on Linux prompt
sudo apt-get update
sudo apt-get install ubuntu-desktop

This will take around 15 to 30 minutes to finish.

Install XRDP on your Linux box

$ sudo apt-get install xrdp

Add Azure RDP Endpoint Port 3389 on both  public and private port

This will allow you to connect to Linux desktop via Windows RDP interface

RDP into your Linux VM

Next step is to RDP into your Linux VM. When you log into Linux box it will prompt you with this.

Log into Linux Desktop

The last step is to log in to your Linux desktop.