Install azsdk mcp server in copilot setup steps (#46175)

Author: benbp

.github/workflows/copilot-setup-steps.yml

@@ -0,0 +1,20 @@
+name: Copilot Setup Steps
+
+on: workflow_dispatch
+
+jobs:
+  copilot-setup-steps:
+    runs-on: ubuntu-latest
+
+    permissions:
+      contents: read
+
+    steps:
+      - name: Checkout code
+        uses: actions/checkout@v4
+
+      - name: Install azsdk mcp server
+        shell: pwsh
+        run: |
+          ./eng/common/mcp/azure-sdk-mcp.ps1 -InstallDirectory $HOME/bin
+