Azelf is a Lake Guardian from Pokemon Diamond and Pearl. It is not available in Pokemon HeartGold and SoulSilver.
However, you can find the other two Lake Guardians in HeartGold:
* Uxie: Found on Route 218 (the route between the lake and Celestic Town)
* Mesprit: Found roaming in the lakes on Route 218. Its location changes each time you enter the lake, so it may take some time to find it.
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