Here is how you should do to create Azure Files.
1. Use Azure Portal, navigate to your existing Azure Storage. Click on Files
2. Click + File Share
3. Enter file share name and quota. Maximum allowed is 5TB per share.
4. We created 3 shares. Total of 15TB.
5. Click on Connect to view the command on how to mount a file share.
6. You can get access key from Azure Storage.
7. Use command prompt to mount it.
Now if you interested on use case on where to use Azure Files, please refer to http://www.ms4u.info/2016/12/use-azure-files-as-veeam-backup.html
Enjoy!