Windows Azure PowerShell is a module that provides cmdlets to manage Azure through Windows PowerShell.

Here you can find an official documentation on how to install and configure Azure PowerShell. But in a nutshell, there are two simple steps.

Step 1:
Download and run Microsoft Web Platform installer, which will guide you through the Windows Azure PowerShell installation. The process is a bit lengthy and includes some heavy Microsoft components, such as IIS Express and SQL Server Express. Note that a system restart may (will?) be required during the installation, so prepare accordingly.

Step 2:
Open Azure PowerShell and configure it to use your Azure account, as explained in the documentation.
Two methods are available – via your Azure credentials (with session available for the next 12 hours) and certificate-based. The former did not work in my case, resulting in some strange error, so I had no choice but to go with certificates option. Surprisingly, the setup went extremely easy. First, download your settings file with Get-AzurePublishSettingsFile cmdlet. Second, import the resulting file with Import-AzurePublishSettingsFile cmdlet and delete the file from the local system.

The sources for Microsoft Azure PowerShell cmdlets are available on GitHub, as well as the changelog.