Does Windows Azure support the Application Warm-Up module or something similar?

Question

We have a Web Role that we are hosting in Windows Azure that uses an old ASMX based Web Reference to contact an external system. The Web Reference proxy code is big enough

Answer 1

It looks like the Application_Start handler in Global.asax gets executed when the Web Role is deployed (for ASP.NET) and not on the first request, so that will work for us.