adding openai documentation (#938)

* adding openai documentation

* adding openai documentation

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Chi Wang <wang.chi@microsoft.com>

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Qingyun Wu <qingyun.wu@psu.edu>

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Chi Wang <wang.chi@microsoft.com>

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Chi Wang <wang.chi@microsoft.com>

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Chi Wang <wang.chi@microsoft.com>

* addressing comments

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Chi Wang <wang.chi@microsoft.com>

* Update website/docs/Examples/Integrate - OpenAI.md

Co-authored-by: Chi Wang <wang.chi@microsoft.com>

* adding Azure

* rerun

* addressing comments about Azure

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Co-authored-by: Chi Wang <wang.chi@microsoft.com>
Co-authored-by: Qingyun Wu <qingyun.wu@psu.edu>