If you can't connect to the sql box from your machine you won't be able to connect to it through an application either. The application you want to run MUST be able to make a connection to the sql server. Maybe you can build the application and run it from the machine you are connecting with RDP?
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Understanding and Using APPLY (Part 1) - http://www.sqlservercentral.com/articles/APPLY/69953/
Understanding and Using APPLY (Part 2) - http://www.sqlservercentral.com/articles/APPLY/69954/