When you publish a web/worker role to Azure and request that Remote Desktop is activated, you can visit your VM afterwards via RD.
Your can browse through your drives .....
I still wonder how I can use the floppy-drive :-) though. Also notice the remark in right bottom corner : "this copy of Windows is not genuine".
PS: According to Maarten Balliauw this is because they closed some "windows services" on the VM that are responsible for checking this compliancy.