Azure DNS Learn Path
https://docs.microsoft.com/en-us/learn/modules/host-domain-azure-dns/
In order to implement this, I'll be following this Microsoft Learn module. This way I can do everything on Azure and not require a third-party DNS provider.
Create a DNS zone for your domain name. Create DNS records to map the URL to an IP address. Test that the domain name resolves to your web server. In this module, you will:
Configure Azure DNS to host your domain
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