Hi,
You will need to perform 2 steps:
- Setup DNS proxy in Azure Firewall settings
- Set the Firewall's Private IP as DNS server in the VNET settings, so that the resources (VMs) will send the DNS query to Firewall.
Reference: https://zcusa.951200.xyz/en-us/azure/firewall/dns-settings
Regards,
Karthik Srinivas