So if youre able to use a managed identity in azure and are familiar with azure to set this up i recommend that. Its possible to use a SAS token if not but ive had issues with all the methods not using a managed identity. So if you go to the data tab and look at external locations, you should start trying to add one with the plus icon in the top right. It will show you what you need to make the external location, mainly a service principle and databrickconnector resource in the resource group of your workspace. Just type thst in to the azure search bar and add it then go back to the external location page to put in its details to make the external location. Finally you have to go to your accounts page of your databricks account (the url starts with accounts.databricks...) i brlieve. Just google how to get to the accounts page where you can create a metastore, assign it to your managed blob location and tie it to your workspace. Once you have these setup and your user permissions set for the external location (data tab, ext location, permissions), then you can test the read write with

dbutils.fs.ls("<blob_location_with_files>")

Let me know what roadblocks you hit.