Here are the steps to set up the Azure CLI:
1. Install the Azure CLI using pip:
```
pip install azure-cli
```
2. Log in to your Azure account:
```
az login
```
3. Follow the prompts to log in through a browser and authenticate with your credentials.
4. Verify your login was successful by running:
```
az account show
```
5. You can now run Azure CLI commands to manage your Azure resources.
Some key points:
- The Azure CLI credentials are stored locally so you only need to log in once per session.
- You can have multiple subscriptions configured by running `az account