Is there a way in Azure to create a new virtual machine with preselected files that will always be there when establishing the new machine, as well as run them?
I have a shell script that I have to run on new Ubuntu machines that I deploy and I was wondering if there's a way to make Azure already install Ubuntu with those files and maybe even run them.
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If I do not misunderstand, you're searching for a way to run the shell script when creating a new VM. Then I will recommend you use the cloud-init, it can run your shell script to provision the VM in the creation time. You can follow the notes here to use the shell script.
You can store the files in a storage account and quickly get the files in your VM: https://learn.microsoft.com/en-us/azure/storage/files/storage-files-quick-create-use-windows. Alternatively, you can restore a backup of a VM that has all prerequisites installed: https://learn.microsoft.com/en-us/azure/backup/backup-azure-arm-restore-vms.
If this is not what you're looking for, I think you should create an ISO of your VM with all software/files installed that you want. This is however not straightforward, see the discussion here: https://serverfault.com/a/952930