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Setup via GUI:

To start, navigate to the desired resource group and select the " +  Create" - Button.

Setup via Cloud Shell:

 # Remove any ML CLI extensions to avoid any conflicts
 az extension remove -n azure-cli-ml
 az extension remove -n ml
# Install the Azure Machine Learning extension

 az extension add -n ml -y
 # Create a resource group
 az group create --name "rg-ml-test" --location "westeurope"
# Create a workspace

 az ml workspace create --name "mlw-ml-test" -g "rg-ml-test"