First off, yes yuo did it right. Of course you did. This is because it stopped at #4. Nothing strange about that indeed !
Also :
and I can imagine you ever did something similar before
Of course I wanted to say "can't" here, but this was before I (only now) realize how very normal all is up to step 4. Of course you could have (ever before) created the RDP connection before that, so there was a small chance this helped.
Oh well, stupid PC's.
About that VPN connection ... I'm not sure if this is really what you want to say ? You don't mean VLC do you ?
But otherwise, -if VPN- does that help you ?
And sorry for the confusement; it's completely on my side !
Peter