A good introduction to Windows Azure can be found at the following link
The Windows Azure SDK download (Sept 2010 UPDATE) is available here
The SDK includes an off-line test environment called 'Developer Fabric', it is a simulation of Azure(Cloud Fabric), the subscription based production environment running in Microsoft's data centers. The SDK provides dev's with APIs, tools, docs and code samples to help develop app's on Win Azure.
Also available to download is Win Azure Tools for MS Visual Studio(ver.1.2 June 2010)
This download includes Windows Azure SDK and can be used with VS2008 & VS2010. Dev's can create, configure, build, debug, run, package and deploy scalable web app's and services.
There are some known issues/bugs in this SDK, some fixes can be found at
A Windows Azure training kit is available to download, it comes with hands-on labs, presentations and demos designed to help you learn how to use Win Azure, SQL Azure and AppFabric. The June 2010 release includes new and updated labs for VS2010.
Web Developer Portals
There are 4 portals associated with Windows Azure platform, 3 are subscription based the other is free to use. A windows Live ID is required to sign-in to these portals, you can sign-up for a Live ID on any one of the portal sign-in pages.
1)Windows Azure Web Dev Portal - Subscription required, app's and services are uploaded to the cloud and are accessable as hosted services. Can be found at http://windows.azure.com/
2)SQL Azure Web Portal - Subscription required, data stored in the cloud. Can be found at http://sql.azure.com/
3)Windows Azure AppFabric Web Dev Portal - Subscription required, use Service Bus and Access Control. Found at http://appfabric.azure.com/
4)Windows Azure AppFabric LABS Web Portal - FREE, test environment for developing against the AppFabric Service Bus. Found at https://portal.appfabriclabs.com/