Hi @sydney ,
to download a Windows VHD file from Azure to on-premises please take a look here (it's not a video but a good description of the steps): Download a Windows VHD from Azure
And here is a simple video as well: How to download the disk of an azure VM
(If the reply was helpful please don't forget to upvote and/or accept as answer, thank you)
Regards
Andreas Baumgarten