Good day Deena ( @Deena Ali ),
If the Azure VM firewall is opened for the right ports (80 and 443 for example), then it does not sound like issue which is related to the Azure Virtual Machine but to the configuration of the inside of the virtual machine. Therefore, we will start by checking the firewall...
This can be related to the Azure Firewall, OS Firewall, OS file system configuration (permissions on the files), or the IIS configuration (for example SSL), or the web app.
These files list.asmx , web.asms , _vi_ti are probably part of your application and has nothing to do with Microsoft. If you choose to sue Azure Virtual Machine then Microsoft in-charge ion hosting the VM but you control what is done inside the VM.
1) Let's start with the error message which you get. Please provide the exact message as text + as screenshot
2) Do you use HTTPS or HTTP ? Make sure the right ports are opened in the Azure VM firewall and in the OS firewall (80 and 443)
3) Make sure what these files are in your app. Make sure they have permission to be used by the user that is used for the site
4) Is this a SharePoint site? SharePoint includes such files.
If you have more information which you can give then please do. It might help to speed the solution