If the RD gateway uses a self-signed certificate, then the certificate has to be installed as a trusted root CA certificate on the client machine.

 Click here for details...

Otherwise, you will get the error below when you attempt to make connnection

  1. On the client machine, launch Remote Desktop Connection application

  2. Click "Show Options"

  3. click the "Advanced" tab, and select "Settings..." 

  4. Select the "Use these RD Gateway server settings" option

    In "Server Name" enter your RD Gateway server's external domain name, e.g. "rdgateway.deepnetsecurity.com". 

    Click "OK" to save the settings.