Windows Azure is a cloud service; the folder system cannot be accessed like FTP server. Here we are about to see how to use your Windows azure storage as cloud drive to store data. To store data inside azure storage you must create a container first. CloudXplorer is a free companion for Windows that will help you do exactly that.
Steps after Creating Windows Azure storage:
Step1: Go to the Windows Azure portal and find and copy the Primary Access Key for your storage account by clicking the button in the right hand column.
Step2: Now open CloudXplorer and click File -> Manage Accounts. This brings up a new dialog. From here click New and pick Windows Azure account.
Step3: Insert the storage name and the primary access key for the storage account.
Step4: Create a container by right click on the azure storage account.
Step5: Double click on the container Icon. Start uploading files using the upload icon on the top.
Please see the following screencast for details: