There are essentially 2 ways that I’ve discovered so far. The first one that anyone is going to do is to use the Azure VPN Gateway. That’s what it says in all of the documentation online. Except, it doesn’t say that here:
It’s called something else. It’s the same thing, different name. That caused me a lot of headache and wasted time. It’s called a “Virtual Network Gateway”. So, when you search for “VPN Gateway” in the Azure portal this is why it turns up with no results.