One of the great enhancements in Microsoft's HDInsight distribution of Hadoop is the ability to store and access Hadoop data on an Azure Blob Store. We do this via the HDFS API extension called Azure Storage Vault (ASV). This allows you to persist data even after you spin down an HDInsight cluster and to make that data available across multiple programs or clusters from persistent storage. Blob stores can be replicated for redundancy and are highly available. When you need to access the data from Hadoop you point your cluster at the existing data and the data persists even after the cluster is spun down.
Azure Blob Storage
Let's start with how your data is stored. A storage account is created in the Azure portal and has access keys associated with it. All access to your Azure blob data is done via storage accounts. Within a storage account you need to create at least one container, though you can have many. Files (blobs) are put in the container(s). For more information on how to create and use storage accounts and containers see: http://www.windowsazure.com/en-us/develop/net/how-to-guides/blob-storage/. Any storage accounts associated with HDInsight should be in the same data center as the cluster and must not be in an affinity group.
You can create a container from the Azure portal....
Read the complete blog post at: http://blogs.msdn.com/b/cindygross/archive/2013/04/25/access-azure-blob-stores-from-hdinsight.aspx