Okay, I figured out the issue; I should have seen that thread below!

You have to use a link that includes START=cmd.exe to get a command console to pop up, and from there you can launch anything else that you like (after having installed it via RDP of course).

I made my own write-up that you can ...

I've been trying to get this Orbx Cloud Game Console up and running. Initially I was timing out on the page, but that was because I hadn't configured the ports to open up. Then I had the wrong GUID, so I Remote Desktopped into it and copied that down into the link.

After all this, I visit the link ...