You can install Azure CLI using the MSI Installer or via PowerShell.
You can logon to PowerShell prompt as an Administrator and run the following.
Invoke-WebRequest -Uri https://aka.ms/installazurecliwindows
-OutFile .\AzureCLI.msi; Start-Process msiexec.exe
-Wait -ArgumentList '/I AzureCLI.msi /quiet'The above command will download and install latest version of Azure CLI for Windows and if a version is already installed, it will update it.
Once installed you can run the Azure CLI commands either from a windows command prompt or PowerShell.
List of Azure CLI commands that can be used to manage Azure SQL resources.
Full commands reference for Azure CLI - https://docs.microsoft.com/en-us/cli/azure/reference-index?view=azure-cli-latest