In Windows Azure role, I cannot ping out
D:\\Users\\foglight>ping www.google.com
Pinging www.l.google.com [209.85.143.104] with 32 bytes of data:
Request
I know this question is very old, but I stumbled upon it while facing the same issue and there is an actual solution for it now in Azure.
When setting up your Virtual machine you can assign it an "Instance IP address". Once that has been configured, you can enabled ICMP in and out in the local firewall. You will then be able to ping out of your Azure VM and also use tools like traceroute.
I don't believe you can do this. Traffic leaving the data center goes through the load balancer, and the load balancer only routes TCP-based traffic.
I also had problems to do traceroutes from my azure VM and to ping it. Just wanted to let you know, that after you have a public IP assigned to the VM (which is in many cases the default), you also need to add ICMP Rules to your network security groups (NSG) (if you have any, which you should).
If you have a NSG on the vnet and a NSG on the VM network interface, you should create 4 rules that allow ICMP (vnet-in, vnet-out, vm-in, vm-out). Selecting "Any" as protocol, will not work. The default rule for internet access seems to be not sufficient. You need to select ICMP. "Any" seems to be only UDP+TCP. I set the source and destination port to "*" (not sure if it even has any effect if ICMP is selected).
After that and a little wait (~1-2 min), I could ping and trace in every direction :)
I had a similar problem. Needed to assign public IP to Azure VM in order to enable ICMP. I used set-azurepublicip and update-azurevm and resolved the issue.