Li, Amy Greetings and Welcome to Microsoft Q&A forum!
Are you following any documentation for the steps? Did you check Tutorial: Create external model endpoints to query OpenAI models already?
To help you better, could you please provide more information about the API you're trying to connect to? What is the API endpoint? What kind of authentication does it require? What kind of data are you trying to send to the API, and what kind of response are you expecting?