Hello and welcome to Microsoft Q&A @Carlton Patterson .
It is my understanding you want to use Databricks to receive messages from Azure Service Bus queue and write them to some form of storage (Azure Blob storage / Azure Data Lake Gen2). YOu have your connection string, but are uncertain of next steps.
If you are using a Python / PySpark notebook, then you might want to look into the Python example script for receiving a message from a queue, and iterating over a queue. I found the examples here. There are also Java versions.
There are directions for connecting to Data Lake Gen 2 here.
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Hello @@Carlton Patterson ,
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