Looks like to use that module, you need to install a python library called ‘azure’. Looking here http://docs.ansible.com/ansible/azure_module.html, it seems to need to be a version later than 0.7.1
This is probably something you can install using pip / yum / apt-get.
Ok, I run ansible-doc -l and it shows that azure is installed.
less comes with NO WARRANTY, to the extent permitted by law.
For information about the terms of redistribution,
see the file named README in the less distribution.
Homepage: http://www.greenwoodsoftware.com/less
a10_server Manage A10 Networks AX/SoftAX/Thunder/vThunder devices
a10_service_group Manage A10 Networks AX/SoftAX/Thunder/vThunder devices
a10_virtual_server Manage A10 Networks AX/SoftAX/Thunder/vThunder devices
acl Sets and retrieves file ACL information.
add_host add a host (and alternatively a group) to the ansible-playbook in-memory inventory
airbrake_deployment Notify airbrake about app deployments
alternatives Manages alternative programs for common commands
apache2_module enables/disables a module of the Apache2 webserver
apt Manages apt-packages
apt_key Add or remove an apt key
apt_repository Add and remove APT repositories
apt_rpm apt_rpm package manager
assemble Assembles a configuration file from fragments
assert Fail with custom message
at Schedule the execution of a command or script file via the at command.
authorized_key Adds or removes an SSH authorized key
azure create or terminate a virtual machine in azure
bigip_facts Collect facts from F5 BIG-IP devices
…
But both can be installed separately. That doesn’t mean anyone is useful to you without the other. Check your distribution docs for how to install packages. Or if it’s not packaged try to read up on “Python pip”.