nextLink property is a URL that you receive if the server sends a partial response for your request.
For example, let's say you have 100 VMs in your Azure Subscription and when you try to list the VMs, the response only contains information about 50 VMs. Along with that response, you will get nextLink property using which you can fetch next 50 VMs.
It looks almost identical to your original request URL but it will have a $skiptoken query string parameter.
For example, if your original request URL looks something like:
https://management.azure.com/subscriptions/{subscriptionId}/providers/Microsoft.Compute/virtualMachines?api-version=2021-03-01
then your nextLink would look something like:
https://management.azure.com/subscriptions/{subscriptionId}/providers/Microsoft.Compute/virtualMachines?api-version=2021-03-01&$skiptoken=<somevalue>.
You would still need to add authorization header to your request.
Please note that $skiptoken is an opaque value and you should not try to infer its meaning or define any business rules on its value. If you get nextLink in the response, then it would simply mean there's more data available on the server.