You can read the official Windows Azure Blog post for full details.

we are simplifying the development experience on Windows Azure with three updates—a new version of the Windows Azure SDK, a new Windows Azure HPC Scheduler SDK, and an updated Windows Azure Platform Training Kit.  Whether you are already using Windows Azure or looking for the right moment to get started, these updates make it easier than ever to build applications on Windows Azure.

Highlights:

  • Windows Azure SDK (November 2011)—Multiple updates to the Windows Azure Tools for Visual Studio 2010 that simplify development, deployment, and management on Windows Azure. The full Windows Azure SDK can be downloaded via the Web Platform installer here.
  • Windows Azure HPC Scheduler SDK— Works in conjunction with the Windows Azure SDK and includes modules and features to author high performance computing (HPC) applications that use large amounts of compute resources in parallel to complete work.  The SDK is available here for download.
  • Windows Azure Platform Training Kit—Includes hands-on labs, demos, and presentations to help you learn how to build applications that use Windows Azure. Compatible with the new Windows Azure SDK and Windows Azure Tools for Visual Studio 2010. The training kit can be downloaded here.

You can start building your application on it in 3 simple and easy to do steps:

1. Download the Tools:

Get Visual Studio Express and the Windows Azure Tools for Visual Studio to start building and debugging applications for the Windows Azure Platform athttp://www.microsoft.com/windowsazure/sdk/
If you have already Visual Studio installed you can download the tools directly fromhttp://tinyurl.com/toolsforazure.

2. Setup an Account:

Set up an account and obtain a free subscription for accessing the online portals for Windows Azure, SQL Azure and Windows Azure AppFabric. You can learn more about the accounts athttp://www.microsoft.com/windowsazure/learn/get-started/ or you can sign up directly and get the trial http://tinyurl.com/getazurefreetrial.

3. Create your First application and Deploy it on the Windows Azure Platform:

First learn how to create a simple ASP.NET application in Visual Studio for Windows Azure and deploy it on Windows Azure at http://www.microsoft.com/windowsazure/learn/tutorials/getting-started-web-tutorial/

When all steps are executed successfully you should have running your first application on the Windows Azure Platform.