It would be helpful if you could share with us how it isn't working. For example, you get an error message (what error)?, it does nothing, you cannot get to the session window, etc.
To use most MS Learn tutorials, such as this, you first need to grant it access to your MS account. That is the big message at the top of the module where it says to review permissions. Once you've done that then it will start the cloud shell window.
However it defaults to Bash, not Powershell. That is what Step 1 tells you to change. Click the Switch to Powershell
button in the shell and confirm the switch. It will then switch to Powershell, which is what the module is for. You can tell this because the CLI lines will start with PS
.
Now you can continue on with steps 2+.