This article walks you through the networking requirements for connecting your on-premises data center to Azure cloud. The steps in this article shows you how to use the Azure portal to create a Site-to-Site VPN gateway connection from your on-premises network to the VNet in Azure cloud.
Just to save everyone the time that I spent trying to connect Azure to AWS, the AWS native VPN currently (01/05/2018) does not support IKEv2 so you can't get it to connect to Azure. I ended up building a windows RRAS server in AWS, roughly as per:
But not exactly. Don't think what I've done is good for production but may suffice for PoC / dev / migration work.