Using windows exported ".rdp" file from Ubuntu

You can use Remmina, which is default application for remote desktop in Ubuntu from version 11.04.

From Remmina main menu select Tools -> Import and select your .rdp file. It will be imported and added to your saved connections in Remmina and you can use it anytime you start Remmina.

From the terminal this worked for me:

remmina -c Downloads/somemachine.rdp 

The command line help says:

$ remmina  --help
...
-c, --connect=FILE          Connect to a .remmina file

Older versions of remmina don't understand the line administrative session:i:1 in files produced by the azure portal, so you either need to upgrade remmina to a more recent version of comment out that line in the file (prefix with # works).

Remmina works on Linux Mint 17.3 (Ubuntu 14.04 based)

however I could not get it to work directly with the .rdp file. Neither via import nor per double click.

what actually worked fine was:

opening the .rdp file with a texteditor. Copy pasting server name and gateway name to remmina.

edit: this also saves me from having to download the .rdp file, searching for it on my computer, etc.