I used following quick start doc to spin up my first Azure container.
https://learn.microsoft.com/en-us/azure/container-instances/container-instances-quickstart#feedback
It worked fine. but how do I connect to container if I want to debug something?
You cannot connect to the container itself directly to debug, IE you can't SSH or RDP to it. Take a look at this graphic which highlights how a container differs from virtual machines:
You can however pull logs from your container from the container engine. In your case you would want to use the following command in the Azure CLI: az container logs
.