.NET: Add samples to show how to create an AIAgent for each provider. (#525)

* Add samples to show how to create an AIAgent for each provider.

* Update dotnet/samples/HowToCreateAnAIAgentByProvider/README.md

Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>

* Address PR comments

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Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>

dotnet/samples/HowToCreateAnAIAgentByProvider/AIAgent_With_AzureOpenAIChatCompletion/Program.cs

@@ -0,0 +1,24 @@
+// Copyright (c) Microsoft. All rights reserved.
+
+// This sample shows how to create and use a simple AI agent with Azure OpenAI Chat Completion as the backend.
+
+using System;
+using Azure.AI.OpenAI;
+using Azure.Identity;
+using Microsoft.Extensions.AI.Agents;
+using OpenAI;
+
+var endpoint = Environment.GetEnvironmentVariable("AZURE_OPENAI_ENDPOINT") ?? throw new InvalidOperationException("AZURE_OPENAI_ENDPOINT is not set.");
+var deploymentName = Environment.GetEnvironmentVariable("AZURE_OPENAI_DEPLOYMENT_NAME") ?? "gpt-4o-mini";
+
+const string JokerName = "Joker";
+const string JokerInstructions = "You are good at telling jokes.";
+
+AIAgent agent = new AzureOpenAIClient(
+    new Uri(endpoint),
+    new AzureCliCredential())
+     .GetChatClient(deploymentName)
+     .CreateAIAgent(JokerInstructions, JokerName);
+
+// Invoke the agent and output the text result.
+Console.WriteLine(await agent.RunAsync("Tell me a joke about a pirate."));