What for? Write Tails on a flash drive, set up Persistence, that is more than enough. First of all, you will have all your sensitive data within physical reach. Secondly, it is way easier and for sure way more reliable to destroy a small USB than a remote server which you have no control of. Thirdly - do not use Windows as a host, ever.
For RDP - use Remmina, it is a nice client.
I also recommend you checking
- many noob (no offence, but you are one) questions are answered there. If you want a fail-safe operating system to use instead of Tails - check
. It may be a bit expensive, but it is worth it. I use it myself.