If you are one of a few lucky developers who requested and received VM Role confirmation email "Welcome to the Windows Azure VM Role Beta program!"... as below:
Your subscription is now enabled to use the VM Role feature in Windows Azure.
If you have not installed the latest version of the Windows Azure Tools (which includes the SDK), please install it from here.
After you have installed the Windows Azure Tools, please run this additional script to enable the VM Role features in the Visual Studio development environment: 32-bit or 64-bit. <------I have removed these 32/64 bit links in this blog)
Please note this is not a monitored alias. For additional questions or support please use the resources available here.
As a reminder, your use of the Windows Server 2008 R2 software in the Windows Azure VM Role Beta Program is governed these license terms.
The Windows Azure Team.
Please be sure to read the email completely and follow two things:
1. Install Azure SDK 1.3
2. Run the Registry script which are included in the above highlighted text depend on your OS version (If you do not do this, you will not see the option to add "New Virtual Machine Role" in the Visual Studio 2010 as below)
After that just follow the link below for step by steps details to get VM Role working like charm: