Help understanding AWS VPN for unique issue

Hello, I have set up an AWS EC2 instance just to test stuff out and learn. It’s a windows server. I wanted to download and install NordVPN client on the instance but once I try to connect NordVPN I instantly loose connection to the instance through RDP and Nord VPN does not work. I tried searching online but I keep getting confused with setting up a server as a gateway device and other things. I just want to know if there is a way I can download any 3rd party vpn client on an instance? If there is what configuration would I need to make on the instance? Or is the change needed on the OS level? I thought maybe I had to change security rules to allow inbound traffic but it did not work. If anyone that is familiar with this topic could help or point me in the right direction I would greatly appreciate it.