Check out example codes for "logging exceptions into app insights from console application". It will help you in understanding the concepts better.

Code Example 1

// you may use different options to create configuration as shown later in this article
TelemetryConfiguration configuration = TelemetryConfiguration.CreateDefault();
configuration.InstrumentationKey = " *your key* ";
var telemetryClient = new TelemetryClient(configuration);
telemetryClient.TrackTrace("Hello World!");

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