Your H: drive on the Azure Virtual Desktop contains your files and folders, just as it would on campus.  The 'H Drive' is accessed as normal in the File Explorer app in the Windows menu.

However, when using the Azure Virtual Desktop (AVD) you will be unable to save files to local storage drives on your device. 

You are unable to access your personal local drive via the AVD, but users can access their 'T Drive' from any personal device with an internet connection by browsing to the following webpage and using the 'Filr' service. From here files/articles can be downloaded to a personal device/PC.

Users of the AVD can also upload files stored on their 'H drive' from within AVD to their University email and send these to themselves to access on their personal PC/device.