Alright, let's get started by setting up a new Azure Functions project. Here's what you need to do:

• Head over to the Azure portal.
• Click on 'Create a resource' and search for 'Function App'.
• In the 'Function App' window, fill in the details like subscription, resource group, function app name, and runtime stack (Node.js is a good choice).
• Click 'Review and Create', then 'Create' to spin up a new function app.

Next, go to https://app.supabase.io and create a new project. Make sure to jot down the API details (URL and public anon key). You'll need these to link your Azure function to Supabase.

On Azure, navigate to your Function App, then choose 'Functions' from the left-hand menu. Click on the '+ Add' button to create a new function. Choose HTTP trigger as your template, give your function a name, and set the authorization level to 'Function'. Click 'Create' to create the function. You'll be taken to the code editor.

In the Azure Functions code, you need to import the @supabase/supabase-js package to interact with Supabase. To import this package, you need to install it first using the below steps:

• Open the console of your local development environment.
• Navigate to the root of your Azure Functions project.
• Execute the command: npm install @supabase/supabase-js.
• Upload the function folder to the Azure portal.

In the code editor of your function, import the package using the below code:

const { createClient } = require('@supabase/supabase-js')

After importing the supabase-js package, initialize a new Supabase client using the below code:

const supabaseUrl = 'your_supabase_project_url';
const supabaseKey = 'your_supabase_anon_key';
const supabase = createClient(supabaseUrl, supabaseKey);

Replace 'your_supabase_project_url' and 'your_supabase_anon_key' with the actual values from your Supabase project.

Your Azure Function is now connected to Supabase and you can carry out operations like retrieving, adding or modifying data in Supabase directly from the Azure Function.