After downloading the .rdp file you can put it on the desktop so that it will be easy to startup the Remote Desktop Client. You do have to download from the Apple store the Microsoft Remote Desktop before double clicking the .rdp icon.

After double clicking, for the first time, you get a vanilla configuration and you do have to import the .rdp file to allow setting up a connection:

Find the file with the browser and open/import it:

To open the connection to the RDS service, click on the just installed 'PC':