Yes, you can set up a VPN service on CloudShare to connect to a corporate network.
Please note that most VPN tools are set to disable internet access and block certain ports by default when activated. By changing your VPN's client and server settings to allow internet and run over our open TCP ports (22, 443, 80, 3389, 8000, 8080, 30015, 50013, 50014), you should be able to connect to your corporate network and maintain RDP connectivity.
The following sites may be of some help as well when configuring your VPN server and client:
Do you have any good example that worked for your customer.
We could Remote Access Services for Windows.
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