While exploring window azure stuff I found very good links to understand and develop and deploy my first window azure application. Below are the links
Developing first Window Azure ASP.NET
Silverlight hosted on Windows Azure
Deploying a WCF Services to window Azure
Host WCF Services in as Azure Worker Role
Converting an existing Silverlight app to Azure in 3 simple steps
Silverlight front end calling to WCF Service, all in one Windows Azure Web Role Sample