You must have the name of the machine you want to connect to.
You must install Microsoft Remote Desktop from the app store.
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Launch the Windows app

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Click the Settings gear, and select Preferences...

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From the Preferences window, click the Gateways tab

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On the Gateways tab, if you have the old rdp.umsl.edu, hit the - to delete it.

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Enter User name as SSOID@umsystem.edu, with your SSO password. The Friendly name is optional. Click Add.

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Close Preferences by clicking the red Close button.
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Click Add PC

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Enter the PC name, select the User account and Gateway you created, then click Add

- Click the connection with the desired computer name

Follow any prompts you may receive. If prompted to Verify Certificate, review the host name and click Trust then Continue.