Windows Azure is a cloud computing platform provided by Microsoft that allows developers to build, manage, and deploy applications and services through Microsoft-managed data centers. The document provides instructions on setting up a Windows Azure development environment, including downloading the SDK and tools for Visual Studio to develop cloud services locally that can then be deployed to Windows Azure. System requirements include Windows Vista/7/Server 2008 and Visual Studio 2008/2010 with the .NET Framework and SQL Server 2008 Express.