Hello @Balaji Shanmugam,
Welcome to the MS Q&A platform.
You will need to install the machine learning extension for Azure data studio to use the Python kernel in Azure Data Studio.
Once the extension is installed, you can select the new notebook from the file menu and run a notebook in Azure Data Studio using the Python kernel. Please see the below documents for your reference.
I hope this helps. Please let us know if you have any further questions.