An Azure service that is used to provision Windows and Linux virtual machines.
As shown in your screenshot, please click on Connect -- Connect, next click Download RDP file, then open the RDP file and connect to your VM. Once you are signed in to your VM you will be able to use Server Manager to install roles/features as described in the Rock RMS article.
NOTE: The Rock RMS instructions you linked to appear to be written for Windows Server 2012. Since you are using Windows Server 2025 you may need to make some changes in how/what you install. There may be newer instructions on the Rock RMS site that are more suitable to current Windows Server versions.
Thanks.
-TP