Hi,
Just to check if you have created a VPN GW on the Azure Tenant? If not you will have to create a VPN GW S2S deployment and once it created you will be able to download the VPN config file to connect from the local device - https://learn.microsoft.com/en-us/azure/vpn-gateway/tutorial-create-gateway-portal
Hope this helps.
JS
==
Please Accept the answer if the information helped you. This will help us and others in the community as well.