Certified GKH Gardening Expert
I would not plant this now. It will not be able to establish while it is cold and will be killed by the winter weather. I would wait until it warms up in spring. Keep it in a cool place such as the garage till spring and water sparingly.
This article will help you to care for them: https://www.gardeningknowhow.com/ornamental/shrubs/azalea/azaleas-noteworthy-shrubs-for-any-garden.htm
If it was a gift azalea (from a florist) meant for indoor growing it can't be planted outside. But you can grow those indoors.