Hi,
In the portal navigate to your VM and click Disks blade, then Create and attach a new disk. Give it a name, select storage type (e.g. Standard HDD), enter size, and click Save button.
I recommend you start with trying Standard HDD since it has the lowest cost. Depending on how you use the drive and your needs there may or may not be meaningful performance difference between Standard HDD or Standard SSD or Premium SSD.
If you find that Standard HDD is too slow for your purposes you could Detach it from the VM, delete it, and create and attach a new SSD disk instead by repeating above steps. Before you detach and delete the disk make sure you don't have anything on it that you need since it will be lost.
Below pricing page shows you prices for each type and size of managed disk:
https://azure.microsoft.com/en-us/pricing/details/managed-disks/
Next you need to connect to the VM using RDP, open Disk Management, initialize the new disk, then finally create new NTFS volume on it with drive letter (e.g. F:).
Once you have completed the above steps the new disk will be ready to use.
Please click Accept Answer if the above was helpful. Please add a comment if something is unclear or you still need help.
Thanks.
-TP