Are you using the Microsoft Remote Desktop app from the app store?
If so, it can look more complicated but is pretty easy to setup:
just click the New button and then you need to fill in the following fields:
General Tab
Connection Name - anything you want (it's just so you can identify the connection)
PC Name - Name or IP address of computer you're connecting to
Gateway - Leave as No gateway configured normally unless you're going through a Remote Desktop Gateway
Credentials - your user name and password on the remote machine (leave blank to be prompted each time)
Resolution - Leave as Native
Colors - Leave as True Color
Full Screen mode - leave as OS X Native
Start Session in full screen - set this if you want to connect full screen rather than in a window
Scale content - set this if you want the remote screen to scale to fit the window size rather than scroll
Use all monitors - set this if you want all your monitors (if you have more than one) to be used in full screen mode
Session Tab
Sound - decide whether you want it redirecting to your mac (Play on Device), on the machine you're connecting to (Play on remote PC) or not at all (Don't Play Sound)
Connect to admin session - only applicable when connecting to servers
Forward printing devices - set if you want to create virtual printers that will allow you to print to any printer your mac knows about
swap mouse buttons - swap left and right buttons
Redirection Tab
This will allow you to make local folders on your mac visible to the machine you're connecting to: Set enable folder redirection and then add folders as required
Once you've set a connection up, just double click it in the My Desktops list