Hello @David Ramirez ,
it seems you are referencing this video.
The functions seen in this video are already added before the recording started, normally you start with an empty list of user-defined functions.
These UDF Functions are added eg. by hand in the Azure portal:
There you can write your own custom functions, in JavaScript:
Check out this documentation for details.
It is also possible to write functions based on the C# language.
For this, you need to program using the VS Code extension.