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When you deploy a new Linux Virtual Machine in Microsoft Azure, you can only connect to using SSH. The reason is Linux Virtual Machines do not support Remote Desktop (RDP) natively. It means that you must allow the 22 port number in the Network Security Group. Sometimes, it can be useful to enable RDP on a Linux Virtual Machine, so in this article, I will explain how to setup a Linux Virtual Machine in Azure with RDP access that you can use for testing purposes.