Short answer: RDP (Remote Desktop Protocol) is Microsoft's protocol for a full graphical session on a remote Windows computer. It is how you use a Windows VPS: connect with the Remote Desktop client to the server's IP on port 3389 and log in as Administrator.
RDP (Remote Desktop Protocol) explained
RDP clients are built into Windows and available for macOS, Linux, iOS and Android. Windows Server allows two simultaneous administrative sessions; more concurrent users need Remote Desktop Services client licences.
Exposed RDP is a frequent attack target. Restrict port 3389 in the provider's firewall to your IP, use a VPN or an RD Gateway, keep strong passwords and enable account lockout.
See it in the data
Frequently asked questions
Do Linux VPS support RDP?
Linux servers use SSH; you can install a desktop and xrdp, but RDP is native to Windows.