[Docs] Add docs for Azure OpenAI provider (#804)

docs/components/llms.mdx

@@ -65,7 +65,42 @@ llm:
 
 ## Azure OpenAI
 
-_Coming soon_
+To use Azure OpenAI model, you have to set some of the azure openai related environment variables as given in the code block below:
+
+<CodeGroup>
+
+```python main.py
+import os
+from embedchain import App
+
+os.environ["OPENAI_API_TYPE"] = "azure"
+os.environ["OPENAI_API_BASE"] = "https://xxx.openai.azure.com/"
+os.environ["OPENAI_API_KEY"] = "xxx"
+os.environ["OPENAI_API_VERSION"] = "xxx"
+
+app = App.from_config(yaml_path="config.yaml")
+```
+
+```yaml config.yaml
+llm:
+  provider: azure_openai
+  model: gpt-35-turbo
+  config:
+    deployment_name: your_llm_deployment_name
+    temperature: 0.5
+    max_tokens: 1000
+    top_p: 1
+    stream: false
+
+embedder:
+  provider: azure_openai
+  config:
+    model: text-embedding-ada-002
+    deployment_name: you_embedding_model_deployment_name
+```
+</CodeGroup>
+
+You can find the list of models and deployment name on the [Azure OpenAI Platform](https://oai.azure.com/portal).
 
 ## Anthropic