We had Redshift on AWS, and needed SSH tunnel for the connection to work. I don't know about the Windows equivalent.
Prior to trying the connection on Tableau Desktop, to begin with - Are you able to setup a DSN to the EC2 SQL server successfully in your laptop?. If your DSN connection connects successfully, then Tableau should work too.
OK, I figured it out. I had two issues:
1. I was using the wrong Server name; the right way to connect is to enter the EC2 Instance's public IP Address in the server name field; if it doesn't work, try to add ",1433" after the IP address to specify the port (1433 is SQL Server's default port)
2. I had to create a SQL Server username and password, different from the username/password used to connect to the EC2 instance itself; that SQL Server user also needs to be granted a bunch of rights from within SQL Server
For those interested, the link below really helped me, especially the response from the user named kkcan (big thank you to her or him):
Frederic, thanks for posting your answer