Connect Ubiquiti UniFi Dream Machine to Azure VPN

A couple of days ago I got a Ubiquiti UniFi Dream Machine, which is an all-in-one device with an access point, 4-port switch, and a security gateway. After the basic setup, I wanted to connect my Ubiquiti UniFi Dream Machine USG to an Azure VPN Gateway (Azure Virtual Gateway), using Site-to-Site VPN.