Your computer could not connect to another console session on the remote computer because you already have a console session in progress.

If you connected with vpn, Check your local ip address. 

• It may be the same as you want to connect with RDP. If it is same, change your local ip.

Check remote ip with port. 

• Maybe Remote machine port is closed. First ping rdp ip. If ping is ok, check the port. Default Rdp port is 3389.  You can check with telnet. winkey+r (Run window). write telnet. (If is not installed, you can install program and features window). in telnet promt "o ip port". with out double quotes.