Visual Studio 2010 requires VS2010 SP1 and Hosted TFS patch for SP1 to working TFS Azure.
Download and Install Visual Studio 2010 SP1. You can ignore this step, if you have VS2010 SP1 already.
Wait for Service pack 1 installation complete. Download KB2581206 and install.
Once the KB2581206 is installed, open up the VS2010 and add Team Foundation Server dialog.
On the “Add Team Foundation Server” window, start typing the TFS Azure url (example: https://adhiblog.tfspreview.com)
Click ok. You will be presented with Windows Live ID sign in page
Once you successfully login, you will be presented with list of projects. Here after you will work with TFS Azure as if you were working with an internal TFS Server. Enjoy!