Hi stephanm,
It looks like there's a version of the pack
with a Raspberry Pi and
one without. You must've purchased the one without, but you can contact customer support or check your order history to make sure.
Regarding guides, Microsoft handles that for this kit:
https://developer.microsoft.com/en-us/windows/iot/docs/adafruitmakerkit. You could also explore
the Microsoft site linked from the product page, it looks like there are probably some answers there.
This forum in particular is for Adafruit's IoT service, "Adafruit IO", so we won't be able to offer any official help with Azure, though there may be other folks around who have experience with it.
- adam