Hello, @sns !
How do I install an .exe in my virtual machine or virtual machine scale set?
You have a separate thread dedicated to executing Custom Script Extension which goes through the script process in detail and Azure VM Image Builder is a viable solution but it sounds like you'd like to avoid the overhead of creating and managing a script.
In that case, my recommendation would be to look at VM Applications which separates the application installation from the VM image. These are the instructions for an .exe installation:
https://learn.microsoft.com/en-us/azure/virtual-machines/vm-applications?tabs=ubuntu#exe-installer
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