docs: add basic manual azure example

Author: RobertCraigie

examples/azure.py

@@ -0,0 +1,40 @@
+import os
+from openai import OpenAI
+
+
+# The name of your Azure OpenAI Resource.
+# https://learn.microsoft.com/en-us/azure/cognitive-services/openai/how-to/create-resource?pivots=web-portal#create-a-resource
+resource = "<your resource name>"
+
+# Corresponds to your Model deployment within your OpenAI resource, e.g. my-gpt35-16k-deployment
+# Navigate to the Azure OpenAI Studio to deploy a model.
+model = "<your model>"
+
+# https://learn.microsoft.com/en-us/azure/ai-services/openai/reference#rest-api-versioning
+api_version = "2023-08-01-preview"
+
+api_key = os.environ.get("AZURE_OPENAI_API_KEY")
+
+if not api_key:
+    raise Exception("The AZURE_OPENAI_API_KEY environment variable is missing or empty.")
+
+# Azure OpenAI requires a custom baseURL, api-version query param, and api-key header.
+client = OpenAI(
+    api_key=api_key,
+    base_url=f"https://{resource}.openai.azure.com/openai/deployments/{model}",
+    default_query={
+        "api-version": api_version,
+    },
+    default_headers={"api-key": api_key},
+)
+
+completion = client.chat.completions.create(
+    model="gpt-4",
+    messages=[
+        {
+            "role": "user",
+            "content": "How do I output all files in a directory using Python?",
+        },
+    ],
+)
+print(completion.model_dump_json(indent=2))