Make sure you have your zephyr (2.3 branch) ready to go, see Zephyr Getting Started Guide
git clone https://github.com/fromeijn/hello-world-zephyr-with-azurecd hello-world-zephyr-with-azuresource ~/zephyr/zephyrproject/zephyr/zephyr-env.shor similarwest build -p auto -b nrf52840dk_nrf52840