Before, Completed the process.
Easy way to locally access your Azure  Windows Virtual Machine

Create Azure Virtual Network

Open in the Azure Virtual Machine


Next,
    • Select and Click Connect,
    • Open Connect to virtual machine box.
    • Then, Download the RDP file.


    Open in the download file.
      • View Remote Desktop connection box, select Connect

      • Then, Enter the Username & Password after Ok.

      • Connecting...

      • Ask Permission select Yes

      • Finally open, Azure Windows Virtual Machine Locally. Then You can access it.