If you are trying to connect from a computer on the same LAN, make sure "Local network sharing" is enabled in "VPN settings" of the Mullvad app.

If you are trying to connect over internet and using the default RDP port 3389 as the internal port, add "%SystemRoot%\system32\svchost.exe" to the list of apps to exclude in the split-tunneling section and, on your router, configure port forwarding accordingly.

 

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