As per MSDN,
Windows Azure is the cloud services operating system that serves as the development, service hosting, and service management environment for the Azure Services Platform. Windows Azure provides you on-demand compute & storage to host, scale, and manage web applications and services on the internet in Microsoft data centers.
Windows Azur home page: http://www.microsoft.com/azure/default.mspx
Windows Azur documentation: http://msdn.microsoft.com/en-us/library/dd163896.aspx