In order to connect to the Portal you will need to use Microsoft's Remote Desktop Connection. Windows Vista/Windows 7.x already includes this software, whereas Windows XP needs a software update to be installed, the link is below (for Windows XP users):

Microsoft Remote Desktop Connection Software Version 6.1 (for Windows XP) (click to download)

For Mac users, please download the following version of Remote Desktop Connection software for Mac OSX 10.5.

Microsoft Remote Desktop Connection Software for Macintosh Systems (OSX 10.5 or greater)

For Linux users, you need to install rdesktop.