About the Azure Active Directory (Azure AD)
Azure Active Directory is Microsoft's cloud-based directory that you can connect your Smoothwall Filter and Firewall to so that you can apply your filtering policies and know who browsed what when, see Microsoft's help topic, What is Azure Active Directory?
In your Azure Active Directory, you need to create an App registration, see the Microsoft help topic, Register an application with the Microsoft identity platform. You also need to create a Client secret, see the Microsoft help topic, Add credentials to your web application. You can then use the Application (client) ID, Directory (tenant) ID and Client secret values to connect the Smoothwall Filter and Firewall to your Azure Active Directory.
Don't forget to map your Azure AD user groups to those Smoothwall Filter and Firewall user groups so that it can apply your specific filtering policies.