I have had on my blog todo list for a number of months to put a Step-By-Step blog post together on How To setup a VPN from my on-premise datacenter to my Windows Azure environment. If you do not already have an Azure account, you can get a free trial at http://aka.ms/IaaS. Before I could get to creating the post, it I found a great article on the topic. It was put out by Shannon Fritz. I recommend you check it out at: Site-to-Azure VPN using Windows Server 2012 RRAS.