GH-45758 [Python] Add AzureFileSystem documentation (#45759)

### Rationale for this change

Missing documentation on AzureFileSystem

### What changes are included in this PR?

Added ArrowFileSystem documentation

### Are these changes tested?

Not yet

### Are there any user-facing changes?

Documentation

* GitHub Issue: #45758

Lead-authored-by: Mike Barry <[email protected]>
Co-authored-by: Mike Barry <[email protected]>
Co-authored-by: Bryce Mecum <[email protected]>
Signed-off-by: Sutou Kouhei <[email protected]>

Author: jabbera

docs/source/python/api/filesystems.rst

@@ -43,6 +43,7 @@ Filesystem Implementations
    GcsFileSystem
    HadoopFileSystem
    SubTreeFileSystem
+   AzureFileSystem
 
 To define filesystems with behavior implemented in Python:
 

docs/source/python/filesystems.rst

@@ -42,6 +42,7 @@ Pyarrow implements natively the following filesystem subclasses:
 * :ref:`filesystem-s3` (:class:`S3FileSystem`)
 * :ref:`filesystem-gcs` (:class:`GcsFileSystem`)
 * :ref:`filesystem-hdfs` (:class:`HadoopFileSystem`)
+* :ref:`filesystem-azurefs` (:class:`AzureFileSystem`)
 
 It is also possible to use your own fsspec-compliant filesystem with pyarrow functionalities as described in the section :ref:`filesystem-fsspec`.
 
@@ -295,6 +296,46 @@ some environment variables.
   In contrast to the legacy HDFS filesystem with ``pa.hdfs.connect``, setting
   ``CLASSPATH`` is not optional (pyarrow will not attempt to infer it).
 
+.. _filesystem-azurefs:
+
+Azure Storage File System
+-------------------------
+
+PyArrow implements natively an Azure filesystem for Azure Blob Storage with or
+without heirarchical namespace enabled.
+
+The :class:`AzureFileSystem` constructor has several options to configure the
+Azure Blob Storage connection (e.g. account name, account key, SAS token, etc.).
+
+If neither ``account_key`` or ``sas_token`` is specified a `DefaultAzureCredential <https://github.com/Azure/azure-sdk-for-cpp/blob/main/sdk/identity/azure-identity/README.md#defaultazurecredential>`__
+is used for authentication. This means it will try several types of authentication
+and go with the first one that works. If any authentication parameters are provided when
+initialising the FileSystem, they will be used instead of the default credential.
+
+Example showing how you can read contents from an Azure Blob Storage account::
+
+   >>> from pyarrow import fs
+   >>> azure_fs = fs.AzureFileSystem(account_name='myaccount')
+
+   # List all contents in a container, recursively
+   >>> azure_fs.get_file_info(fs.FileSelector('my-container', recursive=True))
+   [<FileInfo for 'my-container/File1': type=FileType.File, size=10>,
+    <FileInfo for 'my-container/File2': type=FileType.File, size=20>,
+    <FileInfo for 'my-container/Dir1': type=FileType.Directory>,
+    <FileInfo for 'my-container/Dir1/File3': type=FileType.File, size=30>]
+
+   # Open a file for reading and download its contents
+   >>> f = azure_fs.open_input_stream('my-container/File1')
+   >>> f.readall()
+   b'some data'
+
+For more details on the parameters and usage, refer to the :class:`AzureFileSystem` class documentation.
+
+.. seealso::
+
+   See the `Azure SDK for C++ documentation <https://github.com/Azure/azure-sdk-for-cpp>`__
+   for more information on authentication and configuration options.
+
 .. _filesystem-fsspec:
 
 Using fsspec-compatible filesystems with Arrow