How to create shared folder between my on-premise Windows Server and Azure VM Server? I'm trying to migrate my on-premise SQL Server to Azure VM using 'Microsoft Data Migration Assistant'. But it is asking for shared folder to be accessed by both source and target. How to achieve this?
If you are new to Azure I would suggest ticking the "Copy the database backups to a different location that the target server can read and restore from" and manually copy the backup files to the target.

I tried setting up an SMB share in Azure to use as the backup location as per this article. The issue I ran into was that Azure does not allow anonymous access to files share (the request for the feature has been under review for more than 2 years)and you also can't enter the credentials in the Microsoft Data Migration Assistant, so this route doesn't seem like a solution at the moment.

The only other way I can think of is creating a permanent link with either ExpressRoute or VPN and then creating a share that can be accessed by both subnets.