Jenny Lo from the .NET Services team has a great post up on how to get your first Azure app up and running.

http://blogs.msdn.com/jennylo/archive/2008/11/04/a-step-by-step-guide-from-creating-a-net-services-solution-to-running-the-multicast-sample.aspx

Once you run through her guide, you’re then ready to run the other samples available in the SDK, which will provide you with a really strong overview of what’s inside .NET Services and SQL Services.

Have fun :)