Hi Evan,
Like any cloud services, Azure let you create your VM machine like your own local host PC. First you could start out experimenting by interface to your local host server then deploy your solution to your cloud server. If your solution works in your local host setting, it will work on cloud setting. It looks like the sensor is IoT supporting MQTT (Mosquitto) publish/subscribe protocol (ISO standard). If your host (local or VM cloud) is Linux then there are a lot of free s/w tools available with little programming effort to get you going. Take a look at python s/w tool set in this area. Normally you would spend more time configuring and learning about IoT service of the provider of your choice than doing it your own and your solution may not be portable between providers since each has their own ecosystem. If you are with company that buys IoT services from cloud provider then someone there in your company can set it up for you. Good luck.