With Windows Azure Virtual Network Point-to-Site Connectivity, it’s amazingly easy for cloud developers to connect their development machines to their Windows Azure virtual machines running on Windows Azure Virtual Network.
You will find step by step instructions here:
step 8: http://www.windowsazure.com/en-us/manage/services/networking/add-a-vm-to-a-virtual-network/#CreateVM and select your newly created virtual network. The user credential is important for “file sharing”.
Or To install VPN client for another machine: use certmgr.exe to install 1. public key root cert. + 2. private key client cert.
step 17: Network Connection List: ncpa.cpl