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Creating VNet & Subnets:

Create Virtual Network Gateway

Tutorial - Connect an on-premises network and a virtual network: S2S VPN: Azure portal - Azure VPN Gateway
In this tutorial, learn how to create a site-to-site VPN Gateway IPsec connection from your on-premises network to a VNet.
How to Configure an IKEv2 IPsec Site-to-Site VPN to a Routed-Based Microsoft Azure VPN Gateway
To connect to your Azure virtual network with your on-premises CloudGen Firewall, Microsoft offers the Azure VPN Gateway in two different versions: static and route-based. The route-based VPN ...