Follow the instructions here: Connect using ActiveDirectoryInteractive authentication mode

The important bit is

SQLServerDataSource ds = new SQLServerDataSource();
ds.setServerName("aad-managed-demo.database.windows.net"); // Replace with your server name
ds.setDatabaseName("demo"); // Replace with your database
ds.setAuthentication("ActiveDirectoryInteractive");

// Optional login hint
ds.setUser("bob@cqclinic.onmicrosoft.com"); // Replace with your user name

And

When you run the program, a browser is displayed to authenticate the user.

If you don't want to pop up a browser window, you'll have to use some other auth flow.