How to connect to first EC2 instance running on Windows

Right click on the instance in the EC2 dashboard and click connect.
It will open Console Connect - Remote Desktop Connection
Click on Retrieve Password
Browse the private key with .pem extension from your local desktop
Then press Decrypt Password button
You get following

Public DNS
Username - Administrator
Password

Use mstsc from your local desktop, put Public DNS entry there and click connect.
You will get the login screen
Put Adminstrator password and login to your EC2 instance

Note: Always change your Administrative password after connecting your EC2 instance

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