You will need to add the Remote Desktop role first.
After doing so you can continue installing the CAL license following these steps.
1. Click on Start->Administrative Tools->Remote Desktop Services->Remote Desktop Licensing Manager
2. Click on “All Servers” and right click on the server you want to add the RDS CALs to and click on “Properties.”
3. For connection method, select “Automatic Connection” and select your country.
4. Insert the required information and click “OK.”
5. Right click on the server again and go to “Activate Server.”
6. Click through the menu until it asks for the license type. Select “Open License” and click okay.
7. Input Authorization and License number and the amount of CALs you purchased.
8. This will activate your RDS CALs and you are done!