A simple PowerShell function to simplify the process of establishing a RDP connection to a Microsoft Azure Virtual Machine.

azrdp.ps1

function azrdp {
    <#
    .Author
    Trevor Sullivan <pcgeek86@gmail.com>

    .Description
    Invoke a RDP session to an Azure Virtual Machine, without having to type the
    Cloud Service name or Virtual Machine name.

    .Outputs
    None

    .Links
    http://trevorsullivan.net
    http://twitter.com/pcgeek86
    #>
    [CmdletBinding()]
    param (
        [Parameter(Mandatory = $false)]
        [switch] $PromptSubscription
    )

    $AzureReauthenticate = {
        $AuthResult = Add-AzureAccount 3>&1;

        if ($AuthResult -match 'User canceled authentication') {
            Write-Error -Message 'User canceled authentication, exiting function.';
            return;
        }

        # Re-invoke the azrdp function using the same arguments that the user passed in originally
        $Parameters = (Get-PSCallStack)[1].InvocationInfo.BoundParameters;
        & $PSCmdlet.MyInvocation.MyCommand.Name @Parameters;
    }

    try {
        if ($PromptSubscription) {
            Write-Verbose -Message 'Prompting for Azure subscription.';
            $SubscriptionList = Get-AzureSubscription;
            if (!$SubscriptionList) {
                & $AzureReauthenticate;
            }

            $Subscription = $SubscriptionList | Select-Object -Property SubscriptionName,SubscriptionId | Out-GridView -PassThru -Title 'Select your Azure Subscription';
            if (!$Subscription) {
                Write-Warning -Message 'No Azure subscription was selected.';
                return; 
            }
            Select-AzureSubscription -SubscriptionName $Subscription.SubscriptionName;
        }

        $VM = Get-AzureVM -ErrorAction Stop | Out-GridView -PassThru -Title 'Select your Azure Virtual Machine';

        if (!$VM) { 
            Write-Warning -Message 'No virtual machine was selected.';
            return; 
        }

        Write-Verbose -Message ('Invoking Remote Desktop session to {0}\{1}' -f $VM.ServiceName, $VM.Name);
        Get-AzureRemoteDesktopFile -ServiceName $VM.ServiceName -Name $VM.Name -Launch;
    }
    catch [System.ArgumentException] {
        if ($PSItem.Exception.Message -match 'Add-AzureAccount') {
            & $AzureReauthenticate -;
        }
    }
    catch [System.ApplicationException] {
        if ($PSItem.Exception.Message -match 'No default subscription') {
            & $AzureReauthenticate;
        }
    }
}

@Stefan: You're welcome! Thanks for commenting.

Cheers,
Trevor Sullivan
Microsoft MVP: PowerShell
http://trevorsullivan.net
http://twitter.com/pcgeek86