Virtual Machines that are provisioned in Windows Azure are stored in the world-wide cloud-based Windows Azure Storage service. In terms of high availability, the Storage service provides built-in storage replication capability – where every VM is replicated to three separate locations within the Windows Azure data center region you select. In addition, Windows Azure Storage provides a geo-replication feature for also replicating your VMs to a remote data center region.
Access to Windows Azure Management Portal https://manage.windowsazure.com/ 
Click on +NEW button on the bottom toolbar and select Data Services –> Storage –> Quick Create: 
Type a unique name for your storage account and ensure that correct Affinity Group is selected: ![clip_image002[4]](http://lh6.ggpht.com/-BFCEzRxWuU4/Uee06T1Jh0I/AAAAAAAABsA/xPGWbRNHqMU/s1600-h/clip_image002%25255B4%25255D%25255B2%25255D.jpg "clip_image002[4]")
By default Geo-Replication is enabled, but you can disable it if you want to use it. Click on CREATE STORAGE ACCOUNT to create the storage.
Storage will be created: 
Angel Perez Palacios 