Error When Using XfreeRDP to provide desktop access to the lab virtual machine

[ERROR][com.freerdp.client.x11] - failed to open display:
[ERROR][com.freerdp.client.x11] - Please check that the $DISPLAY environment variable is properly set.

I get the above error when I try to log in to Ubuntu on Windows .

I enter this command with the correct parameters and get the error. I am in the default user account.

xfreerdp /v:<target IP> /u:<user> /p:<password>

What am I doing wrong?