Thank you for asking this question on the **Microsoft Q&A Platform. **
You can create a .bat file or a .ps1 file. An important requirement to avoid authentication errors with azcopy is to create/use a SAS token.
azcopy copy "https://account.blob.core.windows.net/mycontainer1/?sv=2018-03-28&ss=bjqt&srt=sco&sp=rwddgcup&se=2019-05-01T05:01:17Z&st=2019-04-30T21:01:17Z&spr=https&sig=MGCXiyEzbtttkr3ewJIh2AR8KrghSy1DGM9ovN734bQF4%3D" "\fileshare\path" --recursive=true
Hope this helps,
----------
Accept Answer and Upvote, if any of the above helped, this thread can help others in the community looking for remediation for similar issues.
NOTE: To answer you as quickly as possible, please mention me in your reply.