Hi @Kalpesh Wani ,
i don't now which training and which exact step in the instruction you are referring to, but in general you have 2 options while creating an Azure VM in the network section (please see screenshot below):
Select an existing virtual network from a list by clicking on the drop down list (right side)
Create a new virtual network by clicking on Create new
(If the reply was helpful please don't forget to upvote and/or accept as answer, thank you)
Regards
Andreas Baumgarten