Windows Azure SQL Database Marketplace
technical content is now available that explains how to use Windows
Azure diagnostics configuration file in applications. This file must be
when your application contains startup
tasks that perform diagnostics operations that are not included in the
default operations, or when you use the VM role type, which does not
support startup tasks or the OnStart method. You
can define all of the same diagnostics settings as can be set by using the Windows Azure Diagnostics API's.
Using the Windows Azure Diagnostics Configuration File for information about creating and installing the diagnostics configuration file.
Windows Azure Diagnostics Configuration Schema for an element-by-element breakdown of how the diagnostics configuration file is structured.