If you leverage the Azure Cloud Shell in the Azure portal its a very convenient way to manage Azure resources using PowerShell and the CLI but you may have also noticed an actual Azure drive, i.e. Set-Location azure: and you can navigate around your Azure resources (this is actually the default location when the cloud shell opens). At the top level are subscriptions and you can then navigate to resource groups, VMs, WebApps and more.
The Azure drive is provided via the Simple Hierarchy in PowerShell (SHiPS) provider which you can see via Get-PSProvider.
The actual functionality is evolving, its a project on GitHub at https://github.com/PowerShell/SHiPS but this also means you can run this same provider outside of the Azure Cloud Shell.
You need to ensure you are running the latest version of the AzureRM module then download, install, add an Azure account and add the provider:
New-PSDrive -Name Azure -PSProvider SHiPS -root 'AzurePSDrive#Azure'
You can now navigate to Azure: and enjoy the same feature as when in the Azure Cloud Shell.
Note this is completely different from the Azure Cloud Drive which is the persistent file storage you have in the Azure Cloud Shell that is backed by Azure Files and enables data to be saved and used between sessions. Use Get-CloudDrive to see the current configuration and if you wish to change it simply run Dismount-CloudDrive and then restart the shell and select Advanced options to customize the location.