This November 2011 Windows Azure SDK and Tools (SDK 1.6) release comes with improved and new features. You can download and install the SDK using the Web Platform Installer. Or, you can separately install each part of the SDK manually. To manually install individual components, see Windows Azure SDK for .NET - November 2011.
You can also download the Windows Azure Training Kit that includes updated presentations, labs and demos to leverage the new SDK.
All-In-One Installation - November 2011
For more detail on the release, see What's New in Windows Azure. The Windows Azure team post provides a good summary of the new release.