Update 2025, March, for Windows:

Multiple ways exist.

Fast, easy and expensive:

1. Open the virtual machine in the Azure Portal

2. Navigate to Monitoring/Insights and enable it

3. Wait for everything to be set up and the first data to be propagated (5 minutes should be good). Refresh the page and you should see it.

Fast, somewhat complicated, way less expensive:

1. Do the steps from "Fast, easy and expensive", but when you do it, make sure to note the "Data collection rule"

2. Navigate to the previously noted Data collection rule

3. Below Configuration/Data sources select Performance Counters
   

4. Select Custom and enter your counters. Replace X here with the Diskletters you need. If a letter does not exist on a VM, it's ignored. Don't forget to click Add

   

5. Useful counters for Disk utilization are (X again placeholder):
   \LogicalDisk(X:)\Free Megabytes
   \LogicalDisk(X:)\% Free Space

6. Select the newly added counters and click on Destinations:
   

7. Click on Add destination and add a new Destination, remove the existing one
   

8. Click on save

9. Navigate back to the virtual machine where you started to and open Monitoring/Metrics and adjust the Metric Namespace. There you can find your Metrics:

P.S.: To get a list of all counters available on your machine, run typeperf -q in a Powershell, run typeperf -q -? to get help on the command.