There is nothing built in. Think about. You can connect to client 1 through RDP and on the client 1 run another RDP to client 2 maschine, and from this maschine another RDP to client 3…😉. Where you do connection than this is the client. As say by others you must do outside logic self, and store info in some context variable or something like this.
Regards, Karol Bieniaszewski
