Even though you can successfully install Azure AD connect on the same domain controller as your active directory, it is highly recommended to install Azure AD Connect on a separate server that is domain joined. In this tutorial, we use Microsoft server 2019, which is already domain joined.
1- Log in to the server and download the Azure AD connect installation package from Microsoft website using this link.
2- Right-click the AzureADConnect.msi that you downloaded in the previous step, and select install.

3- In the Microsoft Azure Active Directory Connect wizard, check the box license agreement box, then click Continue.

4- If you have enough experience, then you can use the customize button to specify a custom installation location for SQL server. For this tutorial we’ll use the default option. Click Use Express Settings

5- Enter your Microsoft Azure AD global administrator username and password then click Next

6- In the dialogue box, Sign in to your account, enter your Azure AD global administrator username, click Next then enter your Microsoft Azure AD global administrator password and click Sign in.

7- In the Microsoft Azure Active Directory Connect wizard, enter your local AD DS enterprise administrator username and password, then click Next

8- The screen Azure AD Sign-in configuration, check the box for Continue without matching all UPN suffixes to verified domains, then click Next.

Note: In this step, the Active Directory UPN suffix, has no match with a custom domain in Azure AD. Why? because, I do not have a custom domain registered or added to Azure AD.
If you have an existing domain that you will like to use, make sure it is registered in Azure AD, and it will show up as a matching domain, for you to use – otherwise, Microsoft will auto append the default .onmicrosoft.com suffix.
9- This Step is ready to configure all required features for Azure AD connect. Leave checked, the box Start the synchronization process when configuration completes, then click Install.

10- When the configuration finishes, in the configuration Complete screen, click Exit

You have successfully installed AZ AD connect
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