This requires you to synchronize your account to an azure active directory from an on-premise Active Directory.
If you have Office365 you'll already have Azure AD but otherwise, you'll have to follow these steps:
- Install AAD Connect on the machine connected to the domain
- Follow the guided step up to connect your Azure AD
You will have to create an account before you begin with your set up.
Check this Azure Admin certification out to learn more about Azure services!