If you deploy a build VM to Azure, everything is set up for you and that's the supported way. But nothing prevents you from configuring a build agent on another machine, if you want. Actually, the downloadable VHD contains some scripts for this purpose, such as BuildEnvironmentReadiness.ps1 and SetupBuildAgent.ps1 (under c:\DynamicsSDK).
Note that understanding how the build infrastructure of VSTS works would be beneficial for you; consider investing a few dozen minutes to learn the basics.
By the way, Continuous Integration is process; it's not a component of VSTS or something. It's one way how to use these tools.