Final answer:
To identify a VPN appliance with an IP address for Azure network extension, you should create an Azure VPN Gateway as it is designed for secure cross-premises connectivity.
Step-by-step explanation:
To identify the VPN appliance with an IP address for Azure network extension, the Azure resource you should create is an Azure VPN Gateway. None of the other options provided (Azure Virtual Machine, Azure Virtual Network, Azure Network Security Group) serve the primary purpose of connecting to different types of on-premises networks or other Azure networks using a VPN. The Azure VPN Gateway is specifically designed for this type of network connectivity and extension, providing secured cross-premises connectivity and dedicated IP addressing for the VPN appliances.