Create dependency-review.yml

[troelsfr]

Description

Motivation and Context

How has this been tested?

Screenshots (if appropriate):

Types of changes

• [ ] Bug fix (non-breaking change which fixes an issue)
• [ ] New feature (non-breaking change which adds functionality)
• [ ] Breaking change (fix or feature that would cause existing functionality to not work as expected)

Checklist:

• [ ] Add tests to cover changes as needed.
• [ ] Update documentation as needed.