Create new project using Cloud Template (Windows Azure Project)
Press OK wizard will show you different types of roles, seleect ASP.NET Web Role and add
Wizard has created a Project which has Azure Cloud Web Role
When you press F5 or start debug, you'll notice Windows Azure Emulator on your taskbar.
Right click and select Show Compute Emulator UI
You'll be able to see your project being executed
Not much to do here :) just add your files and you are good to go.