This first step when using T-SQL to read Extended Files that are stored in an Azure Storage Account is to create a database credential. Of course the credential will provide essential security information to connect to the Azure Storage Account. This first data point you will need is the URL to a blog storage container in you storage account. If you look below, you can see where you would place your storage account name and the blob storage container name.
Dave gives us the grand tour of the configuration process, including where things differ between on-prem SQL Server and Azure SQL Database (which is quite a bit)