In order to get through all that is going to be discussed here, you are going to need Hyper V Manager, Visual Studio 2010 SP1 or 2012 RC which in turn needs the latest .NET Framework, Windows Azure SDK and the Windows Azure Power Shell Cmdlets.
Microsoft .NET Framework 4.5 Release Candidate
Visual Studio 2012 Release Candidate
Either the 2010 or the 2012 version should work with this. You might as well download the 2012 Release Candidate since it is available now.
Download Visual Studio 2012 RC
Windows Azure SDK and Tools for Visual Studio
Download the Windows Azure SDK and Tools for Visual Studio. If you are using the VS 2010 version then it must be installed with SP1. The tools for VS 2012 are avaiable here also.
The new way is so much easier but you need to sign up for the Preview. If you already have a subscription to Windows Azure, I don’t know how to do this yet. If you sign up for the preview then watch the first video on the Digital Chalk Talks page that shows how easy it is.
View Digital Chalk Talks page
If you insist on doing it the hard way then read this document and follow the steps to create a VM and upload it to Azure.