Microsoft is releasing some free accounts for Windows and SQL Azure these days for their partners. If you have your free accounts, then it's time to start developing something for the cloud.
After this step, maybe you need to also do something on SQL Azure.
Be careful: SQL Server Management Tools versions before than 2008 R2 are not fully compatible with SQL Azure, you cannot use "object explorer" though you can open a query window directly. Here the solution is downloading the latest SQL Server Management Studio Express for free.
After that connecting to SQL Azure is quite same like classic SQL Authentication method: From the management console of SQL Azure you'll learn the connection address for your database, username and password. That's it, then from the Management Studio you can create your tables and from ordinary .NET SQL classes, you can connect your application from your ASP.NET application which is compiled for Azure.
Rumors say that Microsoft is spending a very big effort on Bing, Mobile and Cloud these days as they want to keep their positions in the game against Google and Apple. My experience so far is, Windows and SQL Azure are extremely easy to start with, no need to worry.