Simplify azure setup.

[anntzer]

One can keep everything in a single file by dispatching based on the OS,
rather than splitting the build over two different files.

PR Summary

PR Checklist

• Has Pytest style unit tests
• Code is Flake 8 compliant
• New features are documented, with examples if plot related
• Documentation is sphinx and numpydoc compliant
• Added an entry to doc/users/next_whats_new/ if major new feature (follow instructions in README.rst there)
• Documented in doc/api/api_changes.rst if API changed in a backward-incompatible way

[NelleV]

There's a conflict. Can you merge or rebase?

[anntzer]

rebased

[QuLogic]

I think this is okay, but I can't get Azure to restart the last failing job.

[anntzer]

rebased to retrigger ci

[timhoffm]

@meeseeksdev backport to v3.2.x

[lumberbot-app]

Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

$ git checkout v3.2.x
$ git pull

2. Cherry pick the first parent branch of the this PR on top of the older branch:

$ git cherry-pick -m1 eebe6111d28d33fedcb835074f5f7b0a828267f0

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

$ git commit -am 'Backport PR #15462: Simplify azure setup.'

4. Push to a named branch :

git push YOURFORK v3.2.x:auto-backport-of-pr-15462-on-v3.2.x

5. Create a PR against branch v3.2.x, I would have named this PR:

"Backport PR #15462 on branch v3.2.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to suggest an improvement.