Immediately go read this article:

What is the virtual machine?

The Windows Azure virtual machine (VM) role enables you to deploy a custom Windows Server 2008 R2 image to Windows Azure. With a VM role, you can work in a familiar environment, using standard Windows technologies to create an image, install your software to it, prepare it for uploading to Windows Azure, and then manage it after it has been uploaded.

Virtual Hands on Labs, not really on VM, but give you an idea:

 

Check out my other blogs:

And Alfred Thompson has a nice blog entry on Faculty Blogs: