The tutorial on Microsoft Docs is pretty solid. Tutorial here: https://docs.microsoft.com/en-us/azure/virtual-machines/windows/quick-create-portal
Because some Azure desktop apps cannot be run on Macs i.e. the all-important PowerBI. If you are already using a computer running Windows or you would prefer to use your Surface, you don't need to set up a virtual machine (VM).
This tutorial assumes you have successfully set up an Azure subscription. If you don't have an Azure subscription, create a free account before you begin.
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When choosing the size of your VM (in step 4), choose the cheapest option. You should have been given credits that should cover this cost.
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The section 'Open port 80 for web traffic' took me a while to figure out, so here are some clarifying images:
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Click the virtual machine icon that should be on the left (I believe this is what the tutorial refers to as the 'blade'). Then click myVM (or whatever you named your new VM):
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Click Network Interfaces. Then, under Security Group, click the name that ends with -nsg:
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... then continue on with the tutorial.
HUZZAH! If you did everything successfully, you should now see your Mac running Windows. What a thing of beauty.