You should focus on two main approaches: Azure AI Studio and Microsoft Copilot Studio. Azure AI Studio allows developers to use pre-trained language models and customize them with their own data, leveraging the Retrieval Augmented Generation (RAG) pattern. Microsoft Copilot Studio offers a no-code experience, integrating capabilities from Power Virtual Agents to create conversational AI systems.
You can start from here: https://techcommunity.microsoft.com/t5/microsoft-developer-community/building-your-own-copilot-yes-but-how-part-1-of-2/ba-p/4112753