A data disk is a managed disk that's attached to a virtual machine to store application data or other data that you need to keep. The term is often used in the context of computing and IT infrastructure, such as in virtual machines, servers, or cloud computing environments.
Here is a breakdown of what it typically means:

Physical Context: A data disk could refer to a hard drive (HDD), solid-state drive (SSD), or other storage medium dedicated to holding files, databases, documents, or other user-generated data.
Virtual/Cloud Context: In platforms like Microsoft Azure, AWS, or Google Cloud, a "data disk" is a virtual storage volume attached to a virtual machine (VM). It’s separate from the disk that holds the operating system (often called the OS disk) and is used for storing application data, logs, or other persistent information.

STEPS TO CREATING A DATA DISK ON VM

STEP 1: Create a virtual machine, click on the + create button and select Azure Virtual Machine.

STEP 2: Give your resource group and virtual machine a name.

STEP 3: Select image, here I selected window server 2022 datacenter: Azure Edition Hotpatch-X64 Gen2.

STEP 4: Administration account and Inbound port rules.

For administration account, make use of the username and password that will be accepted/ meets requirement and you can easily remember while for inbound port make use of RDP(3389)and HTTP(80).

All done at this point, Click on Review + create. Once this has been validated and every other settings is ok, validation would be passed. Click on create and wait for your deployment to be completed. click on the button "Go to Resource"

STEP 5: Add a Data Disk

Go to settings and click disk. Select + create and attach a new disk. Give your disk a name in the Disk name section. Select the best option under Storage type, give the disk a Size(GiB) and select Apply to save.

STEP 6: Initialize the disk so as to make it usable.

Connect to your virtual machine and click on select. Wait for it to show configured before you download the RDP file. Once you've downloaded follow the prompt, input your username and password.

STEP 7: Search for Disk Management

Now that we have been able to gain remote access to the Windows Desktop, search and select on Disk Management.

STEP 8: Right click on the disk 2 below.

From the drop-down click on "new simple volume", remember that the disk size was 12 GB. Also the disk is not yet healthy for use.

To continue click next on the new simple volume wizard.

Click on Ok in the Initialize disk pop_up.

Give the Volume label a name. I renamed the volume label to "my data disk". click on next button. (sorry I couldn't get picture on this).