In Windows, there is a built-in RDP client application, Remote Desktop connection and it is available from windows XP and higher features.
Linux offers many clients applications for different Linux distribution Software. One of them is Remmina. Remmina is most popular and provides many features. There are other options too like x11rdp and xrdp.
To connect with your RDP server you need an IP address, Username and Password and you are good to go.