Configure secure encrypted connectivity between your on-premises network and your Azure virtual networks (VNets) over an ExpressRoute private connection. You can use Microsoft peering to establish a site-to-site IPsec/IKE VPN tunnel between your selected on-premises networks and Azure VNets. Configuring a secure tunnel over ExpressRoute allows for data exchange with confidentiality, anti-replay, authenticity, and integrity.
Refer configuration details-
https://learn.microsoft.com/en-us/azure/expressroute/site-to-site-vpn-over-microsoft-peering
VPN devices and device configuration guides
https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-about-vpn-devices#devicetable
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