The Windows Update in question is KB2592687 and enables Windows 7 SP1 virtual desktop to be WAN ready with Remote Desktop v8 and RemoteFX. After installing the update you may notice that you still receive the message "A valid gateway address must be specified." when specifying a remote desktop gateway port number.
This may be due to the fact that the update has a prerequisite update which is marked as optional and is probably not already installed on your Windows 7 desktop. The solution for this involves uninstalling update KB2592687 via
Control Panel -> Programs -> Uninstall Program -> View Installed Updates. You should then download and install KB2574819 which adds support for DTLS in Windows 7. This protocol allows client and server applications to communicate in a way that is designed to prevent eavesdropping, tampering, or message forgery, and is required only if you intend to use Remote Desktop.
Once installed you must install KB2592687 again, you must reboot for the changes tp take effect, after which you should note that your remote desktop client version number is now at version 8.
You can then open Remote Desktop settings and configure remote desktop gateway with a port number.