The Windows Azure Management Cmdlets are very useful to manage your hosted services from a PowerShell command-line, and they have recently been upgraded for SDK 1.3... Unfortunately not yet for SDK 1.4. They work fine though, all you have to do is to fix the dependency checker scripts.

Once you have extracted the package contents, you have two files to fix:

setup\Dependencies.dep : not SDK related, the dependency checker complained about the Windows 7 version (I am running SP1). You have to add "7601" to the list of OS versions, like so:

<os type="Vista;Server" buildNumber="6001;6002;6000;6100;6200;7100;7600;7601">

setup\scripts\dependencies\check\CheckAzureSDK.ps1 : you have to fix the SearchVersion parameter for the calls to SearchUninstall, like so:

$res1 = SearchUninstall -SearchFor 'Windows Azure SDK*' -SearchVersion '1.4.20227.1419' -UninstallKey 'HKLM:SOFTWARE\Wow6432Node\Microsoft\Windows\CurrentVersion\Uninstall\';
$res2 = SearchUninstall -SearchFor 'Windows Azure SDK*' -SearchVersion '1.4.20227.1419' -UninstallKey 'HKLM:SOFTWARE\Microsoft\Windows\CurrentVersion\Uninstall\';

Hope this helps!