Recently I signed up for all three beta programs of the azure platform. I got enrolled in the “VM Role”. Here’s what I did.
The new features are part of the new SDK. Install it from http://msdn.microsoft.com/en-us/windowsazure/cc974146.aspx. My existing solution needed an upgrade after this new SDK was installed. I let the Wizard do its work and ended up with some new items in my cscfg file.

Next I uploaded a certificate and created my package from VS2010. The publish wizard has an extra feature called “Configure Remote Desktop connections …”. Clicking the link gets you to the configuration section for this feature. Select the certificate you uploaded and set the username/password and expiration date.

After the upload the option Connect is available in the Remote Access section of the ribbon. This linkes to a Remote Desktop link.
Login with your username/password supplied in the publish wizard and a minute later you are looking at the blue desktop in the Cloud. Open the IIS Manager and see your WebRole hosted as promised 😉

My colleage got enrolled in the “extra small VM”. I also tried to use the “extra small VM” but that gave an error on uploading. My account was not enrolled in the requested features.