Final answer:
The correct Azure resource for setting up a VPN appliance is the Azure VPN Gateway, which enables secure connections between on-premises networks and Azure virtual networks.
Step-by-step explanation:
To set up a VPN appliance on your company network within Microsoft Azure, you should use the Azure VPN Gateway. This service provides a secure and stable connection between your on-premises network and your Azure virtual network through a Virtual Private Network (VPN). It supports various VPN protocols such as IKEv2 and SSTP, ensuring compatibility with different types of VPN clients.
The other options mentioned serve different purposes: Azure Application Gateway is a web traffic load balancer, Azure Load Balancer distributes traffic across multiple servers, and Azure Firewall is a managed, cloud-based network security service that protects your Azure Virtual Network resources.