To connect to Windows Virtual Desktop you can either use an application, or connect via a webpage.

Browser Method
Open up your web browser and follow the link: https://rdweb.wvd.microsoft.com/arm/webclient
You will get asked to enter your O365 username and password.
Click on the Desktop link to connect to the Virtual Desktop.

Click on Allow (select “Don’t ask me again for connections to this computer” for it not to ask this every time)

Application Method

Install the “Remote Desktop” application from the following link: http://aka.ms/wvd/clients/windows
Save the file then run the program to Install It.
Once installed, to run it click on Start \ Remote Desktop

When the program starts, click on Subscribe

You will get asked to enter your O365 username and password.
Once you have logged in, click on the Desktop link to connect to the Virtual Desktop.

Click on Allow (select “Don’t ask me again for connections to this computer” for it not to ask this every time)