If you get your VM in windows azure not matter it is an IaaS VM (persistent) or a PaaS VM (not persistent) and want to copy a file >2GB to the VM you may find that you can't do that. there is no error. It just fails silently. It turns out that it is by design. Please read the below support article.
The article provides a solution which is using drive redirection. However if you download the rdp file and use it to connect to your VM you probably will find that drive redirection is not enabled since you can't see your local drives in your remote session. The reason is that the rdp file you download doesn't enable drive redirection.
The solution is simple.
First save the rdp somehwere and open it. it probably looks like the below
prompt for credentials:i:1
Then edit this fileto add the below and save it.
Double click this new rdp file and log on to your VM you will find your local drives there and then you can copy anything to your cloud VM.