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✏️ Note:
This step by step guide is based on a Microsoft Learn article that I went through myself.
  1. Set the default location
az configure --defaults location=westeurope
✏️ Note:
Possible values: westus2, southcentralus, centralus, eastus, westeurope.....

2. Create a resource group

az group create --name MyResourceGroup
✏️ Note:
This step creates a resource group named "MyResourceGroup" in the Region Western Europe.

3.  List resource groups

az group list --output table
✏️ Note:
As you can see, a resource group named "MyResourceGroup" has been created.

4. Set the default resource group

# Defining the default resource group
az configure --defaults group="MyResourceGroup"

5. Create the Linux VM

# Creating the Azure Linux VM
az vm create --name support-web-vm01 --image Canonical:UbuntuServer:16.04-LTS:latest --size Standard_DS1_v2 --admin-username azureuser --generate-ssh-keys
✏️ Note:
The VM is set up as a web server running an Ubuntu OS."
✏️ Note:
The VM's name is support-web-vm01. Its size is Standard_DS1_v2. The admin username is azureuser. In practice, this name can be whatever you like. The --generate-ssh-keys argument generates an SSH keypair for you, allowing you to connect to your VM over SSH."

6. Checking whether the SSH client is installed on the access machine

# Checking whether the necessary SSH client is installed
ssh
✏️ Note:
If the ssh command throws an error message, follow the following link https://geekrewind.com/how-to-install-openssh-client-in-windows-11 .

7. Under certain circumstances, the necessary folder structures and files are not created. Therefore, we now do this ourselves.

# Creating the ssh program path and the needed config file
New-Item -Path $HOME\.ssh\config -ItemType File -force

8. Download the private key created in step 5

✏️ Note:
The following method only works in the Azure Cloud Shell.
  • Select Manage files
  • Click on Download
  • Specifiy the file that needs to be downloaded ".ssh/id_rsa"
  • Click on Download
  • Copy the downloaded file into the right folder ("C:\Windows\Users\<username>\.ssh\")

9. To customize the SSH configuration file in the right way we need the public IP of the created VM

# Retrieving the public IP of the Linux Azure VM
az vm show \
  --name support-web-vm01 \
  --show-details \
  --query [publicIps] \
  --output tsv

10. Customizing the SSH connection configuration using Notepad

# Open config File with Notepad
C:\WINDOWS\System32\notepad.exe $HOME\.ssh\config
# For Azure Linux VM
Host <Public IP>
  User azureuser
  Port 22
  IdentityFile ~/.ssh/id_rsa
  IdentitiesOnly yes

11. Testing the access

# Accessing the Azure Linux VM via SSH
ssh azureuser@20.4.22.39
# Should the connection be established?
Are you sure you want to continue connecting (yes/no/[fingerprint])?

Result:

References:

Exercise - Add a data disk to a VM - Training
Exercise - Add a data disk to a VM
Location of OpenSSH configuration file on Windows
How do I set the host name and port in a config file for Windows, using OpenSSH through PowerShell? As on Unix/Linux: Edit or create the file now by typing: nano ~/.ssh/config In here...
How to manage Azure resource groups – Azure CLI
Learn how to manage Azure resource groups in the Azure CLI, a cross-platform tool to connect to Azure and execute administrative commands on Azure resources.
A Guide to Installing the OpenSSH Client on Windows 11