Hi pattifree,
Welcome to the Microsoft Q&A Platform! Thank you for asking your question here
Based on your query,
For setup MFA with remote desktop on your Azure VMs, install the network policy server extension to link MFA with azure active Directory, set up conditional access rules to require MFA for logging into Windows VMs, and configure a remote desktop gateway to make MFA
For more information, please refer the below document to configure the MFA
Remote Desktop Services - Multi-Factor Authentication
Integrate your Remote Desktop Gateway infrastructure using the Network Policy Server (NPS) extension and Microsoft Entra ID
And also, please review below links similar questions and answers along with blogs related to configuring RDP with MFA on an Azure virtual machine.
Multifactor Authentication MFA and Virtual Machines VM
Please let me know if you have any further query tag me in comment will help as you needed.!
If you found this informative, please consider accepting it as an answer as a token of appreciation. And don't forget to give it a thumbs up👍 if it was helpful