We’ll provision a ubuntu server in Azure, and install Putty and WinSCP on your local machine
Details of provisioning
Here is a link to a documentation explaining how to do it
This is! the machine is being provisioned!
Meanwhile take the opportunity to download a SSH terminal if you don’t have one, I recommend https://www.PuTTY.org/ (you can also install WinSCP that will also provide a GUI to transfer files)