Hi,
You setup a VM in a subnet called Subnet A where you will create a web site. You will have a Azure firewall deployed in another subnet called Azure firewall subnet. Then create a new subnet called Subnet B where you will have the client Vm which sends request to the web server VM in Subnet A.
Configure the UDR in such as way that you send the traffic destined to the Subnet A to Firewall where it can process the requests.
Now, use the curl command which is mentioned in the doc to test the IDPS feature.
Regards,
Karthik Srinivas