Microsoft published a new guide, "Getting Started with the Windows Azure CDN" to help you understand how to enable the Azure CDN and begin caching your content. Included is a short list of prerequisites for using Azure CDN, as well as step-by-step instructions for getting started, along with links to additional resources if you want to dive deeper.
To get started caching content in CDN, you first need to have following prerequisites: » Windows Azure subscription. you can sign up using Live ID » Windows Azure storage account. The storage account is where you'll store the content that you wish to cache, using Azure Blob service. To create storage account, navigate to Azure Portal and click New Service link.
More on MSDN: Getting Started with the Windows Azure CDN