In order to start with Azure we need to prepare our Visual Studio with the azure SDK. Even if the Windows Azure tools for Microsoft Visual Studio is only supported by Visual Studio 2010 & Visual Studio 2010 SP1 editions, you can download a standalone SDK providing low level tools, the API ( ie the client dll ) the documentation and the samples we need for start.
So the first step is downloading the Windows Azure SDK and install it. After the installation is complete you will see this in your Server Explorer:

So the new computer and barrels painted in azure means that we have the emulators for the compute service and storage locally running, this mean we can start to try something without buy a real account in the cloud with jus few differences. First time you expand the Storage a backend for it is created under SQL Express, but you can use another SQL server instance by following these instructions.
Another gift from Visual Studio Tools are the new application templates:

This is enough to get the environment ready on.