When you have you application running in Windows Azure the best thing is to enable diagnostics monitoring so you can collect diagnostics data from your application.

However it is also possible to collect performance related data using PERFMON without diagnostics monitoring if you cannot enable by any reason.

To enable performance monitoring in Windows Azure VM using PERFMON you can do the following in startup task:

1. Add Startup task (Needs Info?) in Windows Azure Application
2. Start the Task Scheduler service with Admin Privilege
3. Start PERFMON with Admin Privilege

Now you can RDP to your Windows Azure VM and collect the PERFMON data.