Here are two great MSDN videos to get you started on SQL Azure:

MSDN Video: Microsoft SQL Azure RDBMS Support (Level 200)

This session will cover the following topics: Creating, accessing and manipulating tables, views, indexes, roles, procedures, triggers, and functions, inserts, updates, and deletes, constraints, transactions, temp tables, query support. Watch the Video on MSDN.

MSDN Video: Microsoft SQL Azure Security Model (Level 200)

This session will cover the following topics: Authentication and Authorization to SQL Azure. Watch the Video on MSDN.