If you’re trying to set up an SQL Server instance in the Azure cloud, you will want to check out this link.
http://azure.microsoft.com/en-us/documentation/articles/virtual-machines-provision-sql-server
It lists the steps you need to take in addition to setting up a VM with SQL Server on it.
PS: By “Setting up an SQL Server instance in the Azure cloud”, I mean a VM where you can run your own SQL Server, as opposed to a “Platform as a Service”, Azure SQL Server (which has some inherent limitations).
