Azure Firewall Lab Steps :


Step 1 : Create a VNet in your Resource Group
Step 2 : Create Subnet for Jump server
Step 3 : create Subnet for production workloads
Step 4 : create subnet for Azure Firewall. 
Step 5 : create VM in JumpSubnet
Step 6 : Create VM in Production Subnet 
Step 7 : create azure firewall in Firewall subnet 
Step 8 : create a route table and attach to prod subnet
Step 9: Write a route in route table to tell that next hop is AzureFirewall( its IP )
Step 10 : IN AzFw -> write Application rule to allow google.com
Test the setup .