The Windows Azure SDK requires Internet Information Services 7.0 with ASP.NET Application Development components and the IIS Management Console components installed.

To fix this issue, digg into following steps

For Windows 7 & Vista
1. Click Start, and then click Control Panel.
2. In Control Panel, click Programs and Features.
3. In the Program and Features, click Turn Windows features on or off.
4. To install IIS and the IIS Management Console, select Internet Information Services
If you intend to develop ASP.NET applications, expand Internet Information Services | World Wide Web Services | Application Development Features, and then select ASP.NET.
5. Click OK to install IIS and the selected features.

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