Define a Windows Azure Storage Account

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:

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: