[AI Projects] Document agent tracing setup prerequisites (#51014)

Document connected Application Insights for agent tracing and link to the resource setup quickstart.

Co-authored-by: Kayla Ames <kaseager@microsoft.com>
Co-authored-by: Copilot <223556219+Copilot@users.noreply.github.com>
Copilot-Session: 1f21fb26-ce62-47a9-837d-36a270520581

Author: 3 people

sdk/ai/azure-ai-projects/README.md

@@ -35,6 +35,8 @@ Various documentation is available to help you get started
 
 - [Java Development Kit (JDK)][jdk] with version 8 or above
 - [Azure Subscription][azure_subscription]
+- A [project in Microsoft Foundry](https://learn.microsoft.com/azure/foundry/how-to/create-projects).
+- An [Application Insights resource connected to your Foundry project](https://learn.microsoft.com/azure/foundry/observability/how-to/trace-agent-setup) for agent tracing.
 
 ### Adding the package to your product
 
@@ -106,6 +108,8 @@ EvalCreateParams.TestingCriterion testingCriterion
 
 For the Agents operation, you can use the `azure-ai-agents` package which is available as transitive dependency:
 
+For setup, see [Quickstart: Set up Microsoft Foundry resources](https://learn.microsoft.com/azure/foundry/tutorials/quickstart-create-foundry-resources).
+
 ```java com.azure.ai.projects.agentsSubClients
 AgentsClientBuilder agentsClientBuilder = new AgentsClientBuilder();