VM's and Virtual Network for Ethical Hacking Lab

I would like to create a Virtual Network in Azure which is to host 5 VM's. These 5 VM's will have different OS's installed on them to allow me to complete the Pluralsight CEH Ethical Hacking course.

I have a few questions on this:

1. Can I use Azure for this purpose? Creating a virtual lab for ethical hacking practice?

2. How does one create a Virtual Network and add 5 VM's to that network (which have no access to the Internet).

There are a couple pre-reqs for the network itself:

1. Each VM must be able to ping and communicate with all others on the network.

2. The network must be isolated and have no internet access.