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In order to set up Windows Azure Connect, you need to install a piece of software called Azure Connect Agent in each server/machine from your datacenter that you want to access.

In order to do that, you usually have to access Azure-Portal in order to get a specific agent for each server.  You usually click “Install Local Endpoint” in the portal the popup window includes the URL for installing the endpoint, and is says:

“You cannot save the installation software and run it later, because it includes an activation token”

Ok, in reality you can save the endpoint installation software (Agent), get the token from the portal, and run the install as the following:

wacendpointpackage.exe /i  /s /m en-us /token xx699999-ff75-4c85-abd3-a09b337cd9af

where /i is for install; /s for silent; /m for language; /token for activation token.

Your machine needs internet connectivity for the install to succeed.