K. G. Sreeju Nair posted the steps for you to set up your development environment for Windows Azure.
He describes:
See Preparation of local Development Environment for Windows AZURE for the step-by-step instructions including screen shots. Enjoy.
Once your dev environment is installed, you can see where to download the tools, create an application, get a paid account, and how to deploy the cloud on Windows Azure Platform for Developers.
See the Windows Azure developer training course on Channel 9.
Also, be sure to sign up for Microsoft Platform Ready. The team will help you with issues you might have and provide additional marketing benefits once your application is up on Windows Azure.
Get your free month to try out Windows Azure. See US Developers–September 2010: Try out Windows and SQL Azure–No Credit Card Required.
Bruce D. Kyle ISV Architect Evangelist | Microsoft Corporation