docs(readme): add Microsoft Azure section

README.md

@@ -265,6 +265,46 @@ This library throws exceptions in a single hierarchy for easy handling:
     - We failed to serialize the request body
     - We failed to parse the response body (has access to response code and body)
 
+## Microsoft Azure OpenAI
+
+To use this library with [Azure OpenAI](https://learn.microsoft.com/azure/ai-services/openai/overview), use the same 
+OpenAI client builder but with the Azure-specific configuration. 
+
+```java
+OpenAIOkHttpClient.Builder clientBuilder = OpenAIOkHttpClient.builder();
+
+/* Azure-specific code starts here */
+// You can either set 'endpoint' directly in the builder.
+// or set the env var "AZURE_OPENAI_ENDPOINT" and use fromEnv() method instead
+clientBuilder
+    .baseUrl(System.getenv("AZURE_OPENAI_ENDPOINT"))
+    .credential(BearerTokenCredential.create(
+        AuthenticationUtil.getBearerTokenSupplier(
+            new DefaultAzureCredentialBuilder().build(), "https://cognitiveservices.azure.com/.default")
+    ));
+/* Azure-specific code ends here */
+
+OpenAIClient client = clientBuilder.build();
+
+ChatCompletionCreateParams params = ChatCompletionCreateParams.builder()
+    .addMessage(ChatCompletionMessageParam.ofChatCompletionUserMessageParam(
+        ChatCompletionUserMessageParam.builder()
+            .role(ChatCompletionUserMessageParam.Role.USER)
+            .content(ChatCompletionUserMessageParam.Content.ofTextContent("Who won the world series in 2020?"))
+            .build()))
+    .model("gpt-4o")
+    .build();
+
+ChatCompletion chatCompletion = client.chat().completions().create(params);
+
+List<ChatCompletion.Choice> choices = chatCompletion.choices();
+for (ChatCompletion.Choice choice : choices) {
+    System.out.println("Choice content: " + choice.message().content().get());
+}
+```
+
+See the complete Azure OpenAI examples in the [Azure OpenAI example](https://github.com/openai/openai-java/tree/next/openai-azure-java-example/src/main/java/com.openai.azure.examples).
+
 ## Network options
 
 ### Retries