I have just created a website using Windows Azure and their template for a WordPress blog. I was able to update the CNAME and Alias records to properly forward my domain to
WordPress on Windows Azure Websites runs under Microsoft Internet Information Services (IIS), not Apache. IIS also supports URL rewriting but the configuration is done in a Web.config file, not in a .htaccess file.
First, in WordPress settings, change the permalink to a custom structure without "index.php", such as:
/%year%/%monthnum%/%day%/%postname%/
Also make sure in WordPress Settings, General Settings section, the WordPress Address (URL) and Site Address (URL) are correct.
Next, using FTP, WebMatrix or other tool, create a Web.config file in your WordPress site's root directory:
For a step-by-step tutorial refer to Pretty WordPress Permalinks on Azure. For additional information refer to Moving a WordPress Blog to Windows Azure – Part 4: Pretty Permalinks and URL Rewrite rules.