Try It Yourself - P2S Step 1: Configure a Virtual Network with a Dynamic Routing Gateway

This video steps through the operations described in the step 3, Configure your VPN client, of the Azure documentation, Configure a Point-to-Site VPN connection to a Virtual Network.
The Azure documentation and screencasts of this 3-part P2S series is available at https://aka.ms/P2S.
More of Yung Chou's contents:
Above link is 'classic portal'
This is new portal instructions:
There is also a Powershell version.