This article will briefly talk about Remote Desktop Session Host (RDSH), which is one of the component/Role of the Remote Desktop Services (RDS). RD Session Hosts are the servers that host session-based Applications and Desktops you share with the users.
We will also have a look at the steps to to install the RDS Role on a Windows Server.
What is Remote Desktop Session Host (RDSH)?
RD Session Host (RDSH) is a role and it is part of the Remote Desktop Services (RDS) (also known as Terminal Services prior to Windows Server 2008 R2).
Remote Desktop Session Host servers host Windows applications or desktops that can be accessed remotely by users.

How to Install Remote Desktop Session Host (RDSH) Role
Launch Server Manager
Click here to explore different ways to launch Server Manager.

On the Server Manager Dashboard, Click on Manage menu on the Top right Corner of the Dashboard. Select the Add Roles and Features option
Open Add Roles and Features
Click On: Manage -> Add Roles and Features

Before you begin
Click On: Next

Installation Type
Select the Installation type in this section. The options available are:
- Role based or feature based installation
- Remote Desktop Service Installation
Check the Role based or feature based installation option because we are installing a Role on the server.

Destination Server
Choose the installation Destination Server from the Server Pool.

Select Server Roles
Click and Check the Remote Desktop Services Role checkbox. Click Next

Feature Selection
Click Next as there are no options to select in this section

Remote Desktop Services
This windows displays a small writeup about Remote Desktop Services. Click Next

Select Role Services
Click and Check the Remote Desktop Session Host under the Role Services section. Click Next

Add Roles and Features Wizard
Click on Add Features button on the popup window to confirm the installation of the features that are required for Remote Desktop Session Host

Confirm Installation Selections
Review your Installation selection on this window and Check the Restart the destination server automatically if required checkbox.

Confirm Automatic Restarts?
Click on Yes to confirm Automatic Restarts in the process of Installing Remote Desktop Session Host role on the server

Installation Progress
Once the Installation process starts, wait for it to finish.
Note: The server might reboot more than once to complete the installation process.

Read more about Remote Desktop Session Host (RDSH) from Microsoft
Click here to learn more about Remote Desktop Session Host (RDSH) role from Microsoft.