In this video, I walk you through how to configure Single Sign On (SSO) across CRM Online and Windows Azure using Visual Studio 2010.  My walkthrough is based on the Web Single Sign-On with .NET and Windows Azure Active Directory walkthrough, but adds the nuances of getting this working with Windows Azure & Visual Studio 2010.  If you are using Visual Studio 2012, follow the instructions in the link.  If you are using Windows Azure Web Sites instead of a Web Role, then there is an even easier way to configure SSO:

In the video, I use Fiddler to redirect https traffic to the Windows Azure Compute Emulator.  You can download it here: