Windows Azure is a development, hosting, and management environment of the Azure Services Platform. This enables you to run applications at Internet scale while leverage the skills and tools you use today (programming in C#/VB.NET with Visual Studio).
You probably already have Visual Studio loaded on your system. In order to fully understand the Windows Azure, you should get a copy of the Windows Azure SDK and the Windows Azure Tools for Visual Studio.
There were a number of sessions at this year's PDC that you can few to see Windows Azure in action, but you can check out the Visual Studio Development Center for a Quick Lap around the Windows Azure Tools for Visual Studio.
I also recommend you download a copy of the Azure Services Training Kit that was passed out on the attendee's hard drives. When you install it, it has a number of Hands-on Labs for Windows Azure, SQL Services, .NET Services, and Live Services. Definitely worth having a look.
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