Vedio: Windows Azure Part I: Getting the Tools, Creating a Project, Creating Roles and Configuration
http://msdn.microsoft.com/en-us/vcsharp/video/ee830329
Windows Azure Training Series – Setting up a Development Environment for Free
http://cloud-computing.learningtree.com/2011/01/20/getting-started-with-windows-azure-%E2%80%93-setting-up-a-development-environment-for-free/
Windows Azure Training Series – Creating Your First Azure Project
http://cloud-computing.learningtree.com/2011/01/21/getting-started-with-windows-azure-%E2%80%93-creating-your-first-azure-project/