Add azure deployments + an example/tutorial for using Azure endpoints. (#83)

* Add azure deployments + an example/tutorial for using Azure endpoints.

* Small change to the error response for the Azure API

* Adressed comeents

* Fix error message

Author: sorinsuciu-msft

.gitignore

@@ -8,3 +8,5 @@ build
 .vscode/settings.json
 .ipynb_checkpoints
 .vscode/launch.json
+examples/azure/training.jsonl
+examples/azure/validation.jsonl

README.md

@@ -78,6 +78,8 @@ print(search)
 ```
 
 Please note that for the moment, the Microsoft Azure endpoints can only be used for completion, search and fine-tuning operations.
+For a detailed example on how to use fine-tuning and other operations using Azure endpoints, please check out the following Jupyter notebook:
+[Using Azure fine-tuning](https://github.com/openai/openai-python/blob/main/examples/azure/finetuning.ipynb)
 
 ### Command-line interface