How can I install Jenkins on Azure? Currently I have Jenkins installed on Windows Server as a Service but I am looking at installing Jenkins on Azure but the MSDN docs talk about creating a Jenkins server on an Azure Linux VM from the Azure portal, outlined in the following link:
https://docs.microsoft.com/en-us/azure/jenkins/install-jenkins-solution-template.

Is this the only way or can I install it on a Windows VM and run it as if it was installed on a local Windows machine ?
Thanks
If I understand your question correctly then yes, you can create a windows VM in azure and install jenkins on it the same way as on a local machine. 

They're might be some differences in the configuration of the environment for example about security, user access, routing etc