The Windows Azure Platform Training Kit includes a comprehensive set of technical content including hands-on labs, presentations, and demos that are designed to help you learn how to use the Windows Azure platform. 

November 2011 Update

The November 2011 update of the training kit includes the following updates:

• [New demo] Publishing Cloud Applications with Visual Studio
• [Updated] Labs and Demos to leverage the new Window Azure SDK & Tools 1.6
• [Updated] SQL Azure Presentations
• Applied several minor fixes in content

Download Link:

-           http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=8396

Now you have ability to install Training kit either using Web Installer or full download.

Web Installer just try to install lots of dependency for each and every component and skipping each component takes lots of time. So use your judgement. 

I always download the full package and then install it because not all components in the kit, I really need.