Update Microsoft Azure OpenAI docs in README (openai#1439)

* Update Microsoft Azure OpenAI docs in README

* React to feedback

README.md

@@ -581,7 +581,7 @@ By default the library closes underlying HTTP connections whenever the client is
 
 ## Microsoft Azure OpenAI
 
-To use this library with [Azure OpenAI](https://learn.microsoft.com/en-us/azure/ai-services/openai/overview), use the `AzureOpenAI`
+To use this library with [Azure OpenAI](https://learn.microsoft.com/azure/ai-services/openai/overview), use the `AzureOpenAI`
 class instead of the `OpenAI` class.
 
 > [!IMPORTANT]
@@ -593,9 +593,9 @@ from openai import AzureOpenAI
 
 # gets the API Key from environment variable AZURE_OPENAI_API_KEY
 client = AzureOpenAI(
-    # https://learn.microsoft.com/en-us/azure/ai-services/openai/reference#rest-api-versioning
+    # https://learn.microsoft.com/azure/ai-services/openai/reference#rest-api-versioning
     api_version="2023-07-01-preview",
-    # https://learn.microsoft.com/en-us/azure/cognitive-services/openai/how-to/create-resource?pivots=web-portal#create-a-resource
+    # https://learn.microsoft.com/azure/cognitive-services/openai/how-to/create-resource?pivots=web-portal#create-a-resource
     azure_endpoint="https://example-endpoint.openai.azure.com",
 )
 
@@ -619,7 +619,7 @@ In addition to the options provided in the base `OpenAI` client, the following o
 - `azure_ad_token` (or the `AZURE_OPENAI_AD_TOKEN` environment variable)
 - `azure_ad_token_provider`
 
-An example of using the client with Azure Active Directory can be found [here](https://github.com/openai/openai-python/blob/main/examples/azure_ad.py).
+An example of using the client with Microsoft Entra ID (formerly known as Azure Active Directory) can be found [here](https://github.com/openai/openai-python/blob/main/examples/azure_ad.py).
 
 ## Versioning