Have you been followed my previously blog to build up Hyper-V nested virtual machine on Microsoft Azure? If you don’t, you better build it right now, because this is pre-requisites and you will get lots of benefit for your lab or even production environment, you can reference this link and build it. If you did, congratulation! You can create a nested gest virtual machine and install Firewall (e.g. Sophos XG, Fortinet…) for free, why we still need to build firewall at our Azure Hyper-V nested environment? Because it supports lots functions that we cannot get the functions for free from Azure, e.g. server load balance, firewall, SNAT, application filter, IPS…and so on, we also can use it for LAB or simulate issues or POC. I am going to show how to build Sophos XG here.