Having setup a SQL Server database in Azure I needed a way to get some data into it. I looked at Overview - Azure Data Studio | Microsoft Docs which is a handy tool and is based on VSCode.
The obvious tool is the bcp utility (bcp Utility - SQL Server | Microsoft Docs) however if you are installing this on a "clean" box you will need the ODBC driver as well and possibly the "Microsoft Visual C++ Redistributable" to support it.
After trying the File Import Wizard in Azure Data Studio, which failed, followed by bcp which would not install as it could not see the ODBC driver I had installed for it I decided to use SQL Server Management Studio (SSMS) - SQL Server | Microsoft Docs.