Listed below are some useful resources that will help you get started.  Should you have any further questions, do post them in the forum section and our moderators will try our best to address them.

 About Windows Azure:

• About Azure Platform
• Learn Azure Platform
• Windows Azure SDK for Azure
• "How Do I?" Videos for Windows Azure Platform
• Webcasts, Podcasts, Videos, and Virtual Labs

 About PHP on Windows and Azure:

• Windows Azure SDK for PHP Developers
• Azure training kit (including PHP samples)
• PHP on Windows Training Kit