As already mentioned in the comments section, please follow the document : C modules for Windows devices instruction commands one after the other.
git clone https://github.com/Microsoft/vcpkg
cd vcpkg
.\bootstrap-vcpkg.bat
.\vcpkg install azure-iot-sdk-c:x64-windows
.\vcpkg --triplet x64-windows integrate install
Please mark the response as answered if it is helpful, so that its helpful for other community members.
./bootstrap-vcpkg.bat ❌ - it is wrong way
.\bootstrap-vcpkg.bat ✅