Dare Obesanjo has made an excellent post: Windows Azure from a Developer’s Perspective
To try out Azure you need to be running Windows Server 2008 or Windows Vista with a bunch of prerequisites you can get from running the Microsoft Web Platform installer. Once you have the various prerequisites installed (SQL Server, IIS 7, .NET Framework 3.5, etc) you should then grab the Windows Azure SDK. Users of Visual Studio will also benefit from grabbing the Windows Azure Tools for Visual Studio.
After this process, you should be able to fire up Visual Studio and see the option to create a Cloud Service if you go to File->New->Project.
Very interesting stuff, check out the post here: Windows Azure from a Developer’s Perspective