When attempting to upload the virtual machine into windows azure I got the following error:
Cannot access the certificate specified in the connection string. Verify that the certificate is installed and accessible. The syntax for the connection string 'SubscriptionId=<id>; CertificateThumbprint=<id>' is not valid.
This could be a number of things such as you don't have the certificate on azure. However, the thing that documentation fails is to say that the certificate and the virtual machine must be uploaded from the machine where the certificate was created.
I hope this saves you a couple hours of debugging.
For a nice azure tutorial go to: http://msdn.microsoft.com/en-us/gg502180