Step-by-Step Guide: Creating and Configuring Azure Firewall with Load Balancer Integration

In this blog, I’ll walk you step by step through creating, configuring Azure Firewall and Monitoring, starting from best practices for setting up a Virtual Network (VNet) and Firewall, to integrating a Load Balancer.

Before we begin, it’s important to understand how internet connectivity works in Azure and the different ways to configure VM inbound and outbound traffic. I’ve covered this in detail in another blog here:

👉 Understanding Azure VM Internet Connectivity Options

Now, let’s get started.

Section 1: Creating VNet and Firewall

1. In the Azure portal, search for Virtual networks → click Create.

2. Select an existing Resource Group (or create a new one). Choose the correct Region.

• Click Next: Security to go to Security tab.

3. Enable Bastion Host. Since we’ll be creating VMs in a private subnet, we will be using Bastion Host to connect to them.

• This also creates a public IP for Bastion Public IP.

• Enable Firewall.
• Choose the Firewall SKU carefully. Basic is good enough for demo purpose. I selected Basic.