dual screens and need each to show something different

I am working remotely from home right now using my MacBook Air. I log into the Microsoft Remote Desktop since my computer at work is a PC. I just hooked up a monitor to my laptop so I could have dual screens, hoping I could have a set up like I have at work. I can't figure out how while I'm in my remote PC to have different windows open on both screens. It lets me have the screen from my remote computer open on one screen but I can't have it on the other at all although I can open anything from the Mac toolbar that is a Mac app on the laptop.

I know this is super confusing but I hope someone can help. My job requires a lot of going back and forth between open applications and this would help so much to have my similar set up during this shelter in place for COVID.

Thank you so much in advance!