Horizon is the VDI software from VMware: What is VMware Horizon? | VDI Software | VMware
Unless you're using Horizon, you're really just using vSphere to host a bunch of VMs and the OS and software they run hasn't really got anything to do with VMware.
If you've gotten as far as building out the VMs, you need to ensure they have the appropriate network access (IP, firewall, DNS etc) so your VPN solution works, and assuming they are Windows-based I guess you'll use RDP to get a laptop connected into a VM.
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