add Cosmos DB Chat Message History to Microsoft doc (#1306)

## Overview
Adding Cosmos DB Chat Message History to Microsoft doc

## Type of change

Update existing documentation

## Related issues/PRs

N/A

## Checklist
<!-- Put an 'x' in all boxes that apply -->
- [x] I have read the [contributing guidelines](README.md)
- [x] I have tested my changes locally using `docs dev`
- [x] All code examples have been tested and work correctly
- [x] I have used **root relative** paths for internal links
- [ ] I have updated navigation in `src/docs.json` if needed
- I have gotten approval from the relevant reviewers
- (Internal team members only / optional) I have created a preview
deployment using the [Create Preview Branch
workflow](https://github.com/langchain-ai/docs/actions/workflows/create-preview-branch.yml)

## Additional notes
I am a Cosmos DB PM at Microsoft and noticed this was missing.

Co-authored-by: Mason Daugherty <mason@langchain.dev>

Author: TheovanKraay

src/oss/python/integrations/providers/microsoft.mdx

@@ -365,6 +365,37 @@ See a [usage example](/oss/integrations/document_loaders/url/#playwright-url-loa
 from langchain_community.document_loaders.onenote import OneNoteLoader
 ```
 
+## Memory
+
+### Azure Cosmos DB Chat Message History
+
+>[Azure Cosmos DB](https://learn.microsoft.com/azure/cosmos-db/) provides chat message history storage for conversational AI applications, enabling you to persist and retrieve conversation history with low latency and high availability.
+
+<CodeGroup>
+    ```bash pip
+    pip install langchain-azure-ai
+    ```
+
+    ```bash uv
+    uv add langchain-azure-ai
+    ```
+</CodeGroup>
+
+Configure your Azure Cosmos DB connection:
+
+```python
+from langchain_azure_ai.chat_message_histories import CosmosDBChatMessageHistory
+
+history = CosmosDBChatMessageHistory(
+    cosmos_endpoint="https://<your-account>.documents.azure.com:443/",
+    cosmos_database="<your-database>",
+    cosmos_container="<your-container>",
+    session_id="<session-id>",
+    user_id="<user-id>",
+    credential="<your-credential>"  # or use connection_string
+)
+```
+
 ## Vector Stores
 
 ### Azure Cosmos DB
@@ -382,15 +413,15 @@ Below are two available Azure Cosmos DB APIs that can provide vector store funct
 
 See [detailed configuration instructions](/oss/integrations/vectorstores/azure_cosmos_db_mongo_vcore).
 
-We need to install `pymongo` python package.
+We need to install `langchain-azure-ai` and `pymongo` python packages.
 
 <CodeGroup>
     ```bash pip
-    pip install pymongo
+    pip install langchain-azure-ai pymongo
     ```
 
     ```bash uv
-    uv add pymongo
+    uv add langchain-azure-ai pymongo
     ```
 </CodeGroup>
 
@@ -405,7 +436,7 @@ With Cosmos DB for MongoDB vCore, developers can enjoy the benefits of native Az
 See a [usage example](/oss/integrations/vectorstores/azure_cosmos_db_mongo_vcore).
 
 ```python
-from langchain_community.vectorstores import AzureCosmosDBVectorSearch
+from langchain_azure_ai.vectorstores import AzureCosmosDBMongoVCoreVectorSearch
 ```
 
 #### Azure Cosmos DB NoSQL
@@ -421,15 +452,15 @@ efficiency of vector-based operations.
 
 See [detail configuration instructions](/oss/integrations/vectorstores/azure_cosmos_db_no_sql).
 
-We need to install `azure-cosmos` python package.
+We need to install `langchain-azure-ai` and `azure-cosmos` python packages.
 
 <CodeGroup>
     ```bash pip
-    pip install azure-cosmos
+    pip install langchain-azure-ai azure-cosmos
     ```
 
     ```bash uv
-    uv add azure-cosmos
+    uv add langchain-azure-ai azure-cosmos
     ```
 </CodeGroup>
 
@@ -443,7 +474,7 @@ in every Azure region and can automatically replicate data closer to users. It h
 See a [usage example](/oss/integrations/vectorstores/azure_cosmos_db_no_sql).
 
 ```python
-from langchain_community.vectorstores import AzureCosmosDBNoSQLVectorSearch
+from langchain_azure_ai.vectorstores import AzureCosmosDBNoSqlVectorSearch
 ```
 
 ### Azure Database for PostgreSQL