Do you know if you are creating Windows Virtual Machines in Azure through Powershell or Portal, by default we now enable installation of VM Agent. VM Agent is a light weight process for managing VMs through VM Extensions which are simply software components that extend the functionality of a VM and make common management scenarios easier. If your Windows VM was created before Feb 20, 2014 (when VM agent was enabled by default from Portal)you can install VM Agent for Windows on VMs by downloading it from here.
Documentation :
http://blogs.msdn.com/b/windowsazure/archive/2014/04/11/vm-agent-and-extensions-part-1.aspx
http://msdn.microsoft.com/en-us/library/dn606311.aspx
http://msdn.microsoft.com/en-us/library/azure/jj156003.aspx
This sticky thread is a place where you can provide feedback, issues or any general questions you have on this topic.