A simple search on 'google' on what is windows azure will tell you that Windows Azure is a cloud computing platform and infrastructure, created by Microsoft, for building, deploying and managing applications and services through a global network of Microsoft-managed datacenters. It provides both platform as a service (PaaS) and infrastructure as a service (IaaS) services and supports many different programming languages, tools and frameworks, including both Microsoft-specific and third-party software and systems. And it looks like following diagram....


In a quick span shot :

• cloud service role: A cloud service role is comprised of application files and a configuration. A cloud service can have two types of role:

• web role:A web role provides a dedicated Internet Information Services (IIS) web-server used for hosting front-end web applications.
  
• worker role: Applications hosted within worker roles can run asynchronous, long-running or perpetual tasks independent of user interaction or input.
  

• role instance: A role instance is a virtual machine on which the application code and role configuration run. A role can have multiple instances, defined in the service configuration file.
  
• guest operating system: The guest operating system for a cloud service is the operating system installed on the role instances (virtual machines) on which your application code runs.
  
• cloud service components: Three components are required in order to deploy an application as a cloud service in Windows Azure:
  

• service definition file: The cloud service definition file (.csdef) defines the service model, including the number of roles.
  
• service configuration file: The cloud service configuration file (.cscfg) provides configuration settings for the cloud service and individual roles, including the number of role instances.
  
• service package: The service package (.cspkg) contains the application code and the service definition file.
  

• cloud service deployment: A cloud service deployment is an instance of a cloud service deployed to the Windows Azure staging or production environment. You can maintain deployments in both staging and production.
  
• deployment environments: Windows Azure offers two deployment environments for cloud services: a staging environment in which you can test your deployment before you promote it to the production environment. The two environments are distinguished only by the virtual IP addresses (VIPs) by which the cloud service is accessed. In the staging environment, the cloud service's globally unique identifier (GUID) identifies it in URLs (GUID.cloudapp.net). In the production environment, the URL is based on the friendlier DNS prefix assigned to the cloud service (for example, myservice.cloudapp.net).
  
• swap deployments: To promote a deployment in the Windows Azure staging environment to the production environment, you can "swap" the deployments by switching the VIPs by which the two deployments are accessed. After the deployment, the DNS name for the cloud service points to the deployment that had been in the staging environment.
  
• minimal vs. verbose monitoring: Minimal monitoring, which is configured by default for a cloud service, uses performance counters gathered from the host operating systems for role instances (virtual machines). Verbose monitoring gathers additional metrics based on performance data within the role instances to enable closer analysis of issues that occur during application processing. For more information, see How to Monitor Cloud Services.
  
• Windows Azure Diagnostics: Windows Azure Diagnostics is the API that enables you to collect diagnostic data from applications running in Windows Azure. Windows Azure Diagnostics must be enabled for cloud service roles in order for verbose monitoring to be turned on.
  
• link a resource: To show your cloud service's dependencies on other resources, such as a Windows Azure SQL Database instance, you can "link" the resource to the cloud service. In the Preview Management Portal, you can view linked resources on the Linked Resources page, view their status on the dashboard, and scale a linked SQL Database instance along with the service roles on the Scale page. Linking a resource in this sense does not connect the resource to the application; you must configure the connections in the application code.
  
• scale a cloud service: A cloud service is scaled out by increasing the number of role instances (virtual machines) deployed for a role. A cloud service is scaled in by decreasing role instances. In the Preview Management Portal, you can also scale a linked SQL Database instance, by changing the SQL Database edition and the maximum database size, when you scale your service roles.
  
• Windows Azure Service Level Agreement (SLA): The Windows Azure Compute SLA guarantees that, when you deploy two or more role instances for every role, access to your cloud service will be maintained at least 99.95 percent of the time.