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Azure VPN Gateway
An Azure service that enables the connection of on-premises networks to Azure through site-to-site virtual private networks.
1,555 questions
I assume that you are trying to connect your laptop to an Azure P2S VPN. If this is correct, there are many things that can go wrong. You will most likely get an error when trying to connect via the VPN client, and you can find more information Here about troubleshooting those errors.
If you are not getting an error, or not able to get to the point where you are downloading the VPN client and trying to connect, please link me the azure doc and step that you are having trouble with.