I'm trying to connect my Windows Server 2012 to a VPN while working on it on rdp but when I connect the VPN my rdp connection is closed and I cannot reconnect. How should I do to be able to connect to a VPN (client) from my Server and rdp (server) at the same time ?
Farhan Khan is completely correct assuming that you are using windows native PPTP.
If you are using an SSLVPN or an IPSEC VPN client then you will not have a checkbox like that to check and you will need to take appropriate measures to ensure that the settings for the VPN are not set to a full tunnel.
In your VPN connection properties go to the Networking tab and select "Internet Protocol Version 4 (TCP/IPv4)" then click on the Properties button --> Advanced Button and take the check out of "Use default gateway on remote network". Run and elevated cmd prompt and type IPCONFIG. Get the IP address of your VPN adapter. We need to add an static route.
So let us say your computer's IP address is 192.168.0.100 and your gateway is 192.168.0.1 and the IP address of your VPN adapter is 192.168.10.2 and the server you want to use RDP on is across the VPN tunnel is 192.168.1.10 Then you would type at your elevated cmd prompt "route add 192.168.1.0 mask 255.255.255.0 192.168.10.2"