RDP indirect connections

There is a tab at the top of the RDP screen. If you don't see it, try hovering your mouse up there. You can slide that tab from side to side. It has a minimize button on it. If you're RDP'ed into one server and then into another from there, you will notice that you can slide that tab to the side, revealing another one underneath it for the other server. You do not have to log out.

edited for clarity

Despite the sliding tap & unpinning options in an existing connection... you can also skip the process of RDP'ing into one server to RDP to 2nd, if you implement the gateway service. Basically, the "gateway" server will proxy the connection to the second server. You will probably need to manually specify the gateway prior to connecting... (advanced tab -> click settings, and specify the "Use these RD Gateway server settings.") In most instances, it is probably more of a headache to setup the gateway than it is simply to RDP twice.