Along with everything else you need to learn when you come into Windows Azure, you'll want to get comfortable with the terminology. Azure is a whole bunch of different things, and can be pretty overwhelming when you first take a look at it. I know that it was for me.
But I've got your back. Here's a couple of diagrams that I created (with a ton of help from some former colleagues back in Redmond) that helped me to get my mind around the components of Azure, and how they fit together. Hopefully they'll be of use to you as well, as you start (or continue) your cloud journey.