You need to have "Remote Desktop Service" - "Remote Desktop Gateway" server role installed. 

1. Launch the "Server Manager"
   
   
   
   
2. Select "Manage", then "Add Roles and Features".
   
   
   
   
3. Click "Next"
   
   
   
   
4. Select "Role-based or feature-based installation", then click "Next".
   
   
   
   
5. Select the server machine, then click "Next". 
   
   
   
   
6. In the Server Roles list, select "Remote Desktop Service" page. Click "Next". 
   
   
   
   
7. Click "Next". 
   
   
   
   
8. Click "Next" 
   
   
   
   
9. In the Role Services list, select "Remote Desktop Gateway". Click "Add Features" to install the required features for Remote Desktop Gateway.
   
   
   
   
10. Click "Next" 
    
    
    
    
11. Click "Next" 
    
    
    
    
12. Click "Next"
    
    
    
    
13. Click "Next"
    
    
    
    
14. Click "Install" to install the role services.