When you have enrolled into DUO, your desktop computer will ask you for the 2FA info with an extra 'login' window, much like you are used to with Webmail: You either choose the push or passcode method. After successful authetication, you are continued with the login process to your desktop Windows environment.

This happens when you sit in front of your desktop, but will also occur if you do Remote Desktop access. Details on the Remote Desktop access (including the use of VPN) can be found here