For Windows the Azure CLI is installed via an MSI, which gives you access to the CLI through the Windows Command Prompt (CMD) or PowerShell. When installing for Windows Subsystem for Linux (WSL), packages are available for your Linux distribution.
The Azure command-line interface (Azure CLI) is a set of commands used to create and manage Azure resources. The Azure CLI is available across Azure services and is designed to get you working quickly with Azure, with an emphasis on automation. The Azure CLI is a command-line tool providing a great experience for managing Azure resources. The CLI is designed to make scripting easy, query data, support long-running operations, and more.