Azure Bastion service provides Remote Desktop in browser over SSL port (443). It comes handy if your corporate network is blocking the RDP ports (3389 or 22 for SSH).
First create a Bastion service
For resource group and instance name you can chose anything
The important settings are for vnet and subnet then hit Create new on the Virtual Network
The subnet should be AzureBastionSubnet and its IP range should be /27 (or smaller range like /28)
Make sure there is also a default subnet
Now, when you are creating the VM, you should select the Bastion VNet.