@Azure Practices Adding more information to the above response!
Firstly are you trying to connect Azure File Share or Blob Storage?
As per the screenshot I see you are trying to connect Azure File Share.
Azure Files shares can be mounted concurrently by cloud or on-premises deployments of Windows, Linux, and macOS. Azure Files shares can also be cached on Windows Servers with Azure File Sync for fast access near where the data is being used.
This article provides detailed information and options to Mount SMB Azure file share on Windows
The most easiest way to access Azure blob Storage through Azure Storage Explorer.
There is a similar thread discussion in SO Forum " Link azure blob storage to computer," which provide more information on your scenario
How can we mount azure blob storage as a network drive in windows?
Additional information : In order to use an Azure file share via the public endpoint outside of the Azure region it is hosted in, such as on-premises or in a different Azure region, the OS must support SMB 3.x. Older versions of Windows that support only SMB 2.1 can't mount Azure file shares via the public endpoint.
Note: If you face any issue in mounting the Azure File Share you can refer to the troubleshooting link provided by Sai.
If you have any additional questions or need further clarification, please let me know.
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