All resources of the project will be interconnected using one virtual network. So, go ahead and add the Virtual Network resource to our resource group.
When creating virtual network, set its name to vnet-azure-proxy.
Make sure the virtual network is put in the same region as your resource group. Also note that Azure creation wizard has automatically set the address space of this virtual network to 10.2.0.0/16 and added one default subnet of 10.2.0.0/24. This is totally ok for us but you might want to adjust it if required.
A screenshot of the virtual network creation details is shown below.