Organise RDP Connections with Remote Desktop Connection Manager
Years ago when I first started working with Hyper-V I soon realised there must be a better way of remoting to servers than using the client built in to Windows. There was, in the form of a nifty utility called Remote Desktop Connection Manager or RDCMan. There are other tools but this one is simple and does the job very nicely. For many years it was stuck on version 2.2 published in 2010, probably because it originated as a tool used by Microsoft engineering and technical staff and wasn't the focus of any official attention. Fast-forward to 2014 and there is now a new 2.7 version, as before available as a free download from Microsoft. I highly recommend this for organising your RDP connections to your Azure (or any other) Windows VMs. In addition RDPMan is able to save your logon credentials and if you are in an environment where it's safe to do this it's a great time-saver.
There is a trick to getting RDCMan to work with Azure VMs which can cause endless frustration if you don't know it. The DNS name of the cloud service and the port of the Remote Desktop endpoint need to be entered in separate places in the RDCMan profile for your VM. See here for a post that has all the details you need to get started.
Cheers -- Graham