Windows Azure is a platform that allows you to write software, run software, or use software that we've already written. We provide lots of resources to help you do that - many can be found right here in this blog series. There are two primary resources you can use, and it's important to understand what they are and what they do.
The Windows Azure Software Development Kit (SDK)
Actually, this isn't one resource. We have SDK's for multiple development environments, such as Visual Studio and also Eclipse, along with SDK's for iOS, Android and other environments. Windows Azure is a "back end", so almost any technology or front end system can use it to solve a problem.
The SDK's are primarily for development. In the case of Visual Studio, you'll get a runtime environment for Windows Azure which allows you to develop, test and even run code all locally - you do not have to be connected to Windows Azure at all, until you're ready to deploy.
You'll also get a few samples and codeblocks, along with all of the libraries you need to code with Windows Azure in .NET, PHP, Ruby, Java and more.
The SDK is updated frequently, so check this location to find the latest for your environment and language - just click the bar that corresponds to what you want:
The Windows Azure Training Kit (WATK)
Whether you're writing code, using Windows Azure Virtual Machines (VM's) or working with Hadoop, you can use the WATK to get examples, code, PowerShell scripts, PowerPoint decks, training videos and much more. This should be your second download after the SDK. This is all of the training you need to get started, and even beyond. The WATK is updated frequently - and you can find the latest one here:
There are many other resources - again, check the http://windowsazure.com site, the community newsletter (which introduces the latest features), and my blog for more.