When someone installs Azure Connect Client using the link provided on Azure Portal as below after Azure Connect is enabled in the Windows Azure Application...
... in some cases the installation may fail with the message "Not a valid Win32 application".
This message could occur only if the Windows Azure Connect client binaries are being installed on an OS that Windows Azure Connect doesn't support.
Windows Azure Connect supports Windows Vista, Windows 7, Windows Server 2008, or Windows Server 2008 R2 (Full details at http://msdn.microsoft.com/en-us/library/gg508836.aspx ). Windows XP and Windows Server 2003 all are not supported.