Detecting cyber threats has been an on-going research endeavor. In this era, Advanced Persistent Threats (APTs) can incur significant costs for organizations and businesses. The ultimate goal of cybersecurity is to thwart attackers from achieving their malicious intent, whether it is credential stealing, infrastructure takeover, or program sabotage. Every cyber attack goes through several stages before its termination. Lateral Movement (LM) is one of those stages that is of particular importance. Remote Desktop Protocol (RDP) is a method used in LM to successfully authenticate to an unauthorized host that leaves footprints on both host and network logs. In this paper, we propose to detect evidence of LM using Machine Learning (ML) and Windows RDP event logs. We explore different feature sets extracted from these logs and evaluate various supervised ML techniques for classifying RDP sessions with high precision and recall. We also compare the performance of our proposed approach to a state-of-the-art approach and demonstrate that our ML model outperforms in classifying RDP sessions in Windows event logs. In addition, we show that our model is robust against certain types of adversarial attacks.