Hello @Marco Rossouw ,
Welcome to Microsoft Q&A Platform. Thank you for reaching out & hope you are doing well.
I understand that you are trying to set up a site-site connection (IPSEC vpn) between Azure VPN gateway and your on-premises Sophos XG Firewall device and would need some help in finding the IP address which needs to be configured in the on-premises firewall setup for the site-site connection.
You can refer the below Configuration guide from Sophos which shows how to establish a Site-to-Site IPsec VPN to Microsoft Azure:
This is taken from the below Azure VPN documentation:
https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-about-vpn-devices#devicetable
You can download the configuration script from Azure portal from the Overview page of the Connection (You need to go to the Connection object directly to find the download configuration option):
And to answer your question "from where I need to get the ip address that I need to setup in the on-prem fw setup for the site - site connection":
You need to get the IP address of the Azure VPN gateway to add that in the on-premises firewall.
Kindly let us know if the above helps or you need further assistance on this issue.
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