Azure Functions allows developers to build lightweight code called functions that can be invoked through triggers like HTTP, Timer, queues, etc. In this tutorial, we learned how to use Azure Functions to respond to Twilio's Incoming Message webhook and Message Status Callback webhook. We used the ngrok tool to test our function locally and deployed it to Azure. The process involved creating a new Azure Function project, configuring the HTTP trigger, writing the C# code to handle the incoming message, testing the function locally with ngrok, deploying the function to Azure, and updating the Twilio webhook URL with the full URL of the function in Azure.