1) Ensure that you have the Windows Azure SDK 1.6 / November 2011 (and tools for visual studio) installed
2) Download the appropriate SDK installer(s) on to your workstation based on processor architecture, run it, and the installer will walk you through the setup process.
3) If you are developing applications that interact with the job scheduler you may also need to install the HPC Pack 2008 R2 Client utilities.
4) (optional) Download any of the supplements / sample code archives and extract the contents of the zip file to your hard drive.
5) (optional) If you are developing MPI applications you will also need to install the HPC Pack 2008 R2 MS-MPI redistributable.