Parallels RDP Client: A Cross-Platform Tool with Socket5 and HTTP Proxy Support
Since the built-in Windows RDP client does not support proxy functionality, connecting to servers abroad often results in significant lag. To solve this problem, we can use third-party RDP tools like Parallels RDP Client. This tool supports both Socket5 and HTTP proxies and is available on multiple platforms.

About the RDP Protocol
The Remote Desktop Protocol (RDP) is a protocol developed by Microsoft that allows users to remotely access the desktop environment of Windows-based devices. RDP is a multi-channel protocol capable of transmitting data, audio, and video simultaneously, enabling users to run applications and operating systems on remote devices as if they were operating directly on their local machines.
Download Parallels RDP Client
Official Download Link: https://www.parallels.com/products/ras/capabilities/rdp-client/
This tool supports all major operating systems, including Windows, macOS, Linux, iOS, and Chrome. Choose the version that matches your operating system to download.

Using Parallels RDP Client
After opening Parallels RDP Client, press the shortcut key Ctrl + N to create a new session. By default, it uses Parallels' own protocol, so you can select "Change to RDP Connection."

Open the "Advanced Settings."

Fill in the server information as shown in the image below.

Switch to the "Network Options" tab, check "Use Proxy Server," and select either Socket5 or HTTP proxy based on your needs.

After configuration, you can connect to the target RDP server (Windows Server) through the proxy server, effectively reducing lag when connecting directly to servers abroad.
Conclusion
Parallels RDP Client extends the functionality of the built-in Windows RDP by supporting HTTP proxies. It is available for use across all platforms. If you need a comprehensive, flexible, and easy-to-use remote desktop solution, I highly recommend trying the Parallels RAS RDP Client.
Official Download Link: https://www.parallels.com/products/ras/capabilities/rdp-client/