Launch Remote Desktop Connection. Enter the fully qualified domain name in the Computer text field and then click Show Options
Click the Advanced tab
Click the Settings button
Select the Use these RD Gateway server settings and enter the fully qualified domain name of the gateway server in the Server name field.
Check Use my RD Gateway credentials for the remote computer if the login credentials you’re using to authenticate to the gateway will be the same credentials you’ll use to log into the server you’re trying to connect to. This will be the case for most users.