Explanation:
Step 1: Create and attach a new data disk
Add a data disk.
1. Sign in to the Azure portal.
2. Search for and select Virtual machines.
3. Select a virtual machine from the list.
4. On the Virtual machine pane, select Disks.
5. On the Disks pane, select Create and attach a new disk.
6. In the drop-downs for the new disk, make the selections you want, and name the disk.
7. Select Save to create and attach the new data disk to the VM.
Step 2: Initialize the disk
Initialize a new data disk.
1. Connect to the VM.
2. Select the Windows Start menu inside the running VM and enter diskmgmt.msc in the search box. The Disk Management console opens.
3. Disk Management recognizes that you have a new, uninitialized disk and the Initialize Disk window appears.
4. Verify the new disk is selected and then select OK to initialize it.
5. The new disk appears as unallocated. Right-click anywhere on the disk and select New simple volume. The New Simple Volume Wizard window opens.
6. Etc.
Step 3: Create a new simple volume
Reference:
https://docs.microsoft.com/en-us/azure/virtual-machines/windows/attach-managed-disk-portal