Getting start with Windows Azure, you need to following steps to be completed
1. Operating System Requirements
Vista, Windows 7, Windows Server 2008 or Windows Server 2008 R2
2. Download Web Platform Installer 2.0, Run –> Click Options and select Developer Tools options
3. Select Visual Web Developer 2010 Express and Windows Azure Tool for VS 2010
4. Go to Web Platform and Select database, make sure that you selected Express edition and Management Studio.
5. Click install and confirm
6. While the installation is going on go to Windows Azure Platform Training Kit and download the kit. This kit will provides some cool videos to watch to give you an overview of Windows Azure. Once download completed open the training kit and work through both the Windows Azure and SQL Azure labs.