Hi Bob.
Okay, these steps worked for me each time, regardless of chosen OS:
1) After logging in to windowsazure administrative panel at http://manage.windowsazure.com/, choose "Virtual Machines" tab, click the "Create a Virtual Machine" link
2) Chose "Compute -> Virtual Machine -> From Gallery" branch from menus
3) Choose "Ubuntu" from the list to the left, then "Ubuntu Server 14.04 LTS", click the "Next" arrow button (I also tried OpenLogic's flavor of CentOS 6.7 offered there; btw, note that it comes with selinux set to "Enforce" by default; though I was able to login and complete a couple of simple tasks, I'm not aware whether Gluu is already prepared for selinux; perhaps Mike can answer; if you'll choose it and encounter any problems later on, you could try to switch it to permissive mode and see whether it will help)
4) On the next page make sure "9/9/2015" release date is selected, provide a name for a vm in "Virtual machine name" field, (which will then become a hostname; it should be just a host's name, without any DNS suffixes), use "Standard" for "Tier" (it worked with "Basic" too for me), in "Size"dropdown select at least "A2" variant, equpped with 3.5GB of RAM; provide username you will use to connect via ssh to it, set access password, or upload certificate for passwordless auth; click the "Next" arrow button
5a) On the next page you will have a choice either to reuse existing cloud service, or to create new; for the sake of testing it, I recommend to create it again, same goes for storage account option; I didn't tested it with "Availability Set" feature added, so set it to"None" for now; I used "Central US" for affinity, you can probably use any region.
5b) Now, relly important part - the "Endpoints" section. Thats where port forwarding is set so your internal ip address could be selectively reachable for the outside world. By default, only ssh tcp 22 port is there, you must add public ports http and https (tcp ports 80 and 443) too, mapped to the same private ports. Depending on your previous activity, and, perhaps, on what you have selected for options on that page, http/https ports mappings you have added may be flagged as being in conflict with already existing mappings. I even saw it flagged like that when I didn't have any existing vms (as I removed them not so long ago), but latter on they became available again, so odds are the "lock" on these ports may sometimes persist longer than it should. In that case proceed without setting mappings, you should be given a chance to set them after you have created vm; click the "Next" arrow button
6) On the next page choose to not install "VM Agent", as you probably don't need it anyway, and we don't need any additional, possibly troublesome, software; click the "tick"-button to finalize your vm, and wait until it's ready.
7a) If you was forced to proceed without setting port mappings on step 5b), now it's time to give it another try. Choose "Virtual Machines" from the menu to the left, find the one you've just created in the list and click on the small "arrow" link next to its name to get into vm's management menu. Select "Endpoints" tab there. Add all endpoints mentioned above by clicking "Add" cross button at the bottom. It should work this time, or you will have to contact service's support in case problem won't go away after some time.
7b) Now go to the "Dashboard" tab of the vm's management panel. Scroll down there untill you'll see part where ip addresses and DNS names are supplied. Copy the "DNS Name" line from there - this is the name you'll be using in the browser to access your Gluu instance.
8) Now you are ready to ssh into the box and install Gluu server. On connection, elevate your priveleges to root with "sudo -i" and follow this guide link(http://www.gluu.org/docs/admin-guide/deployment/ubuntu/) strictly to install Gluu CE.
9) After switching to chroot-ed environment and running ./setup.py from there, provide settings for it as follows:
a) for ip address just hit "Enter", so it will use the private ip of the box for it (unless you are running a box with 2 interfaces, then some additional configurations may be needed)
b) for the hostname use the "DNS name" you've acquired on step 7b) (full string with hostname and suffixes)
c) choose to update host/hosname for ubuntu, but don't do that when setting up Gluu on CentOS - it seems to not work properly there (I'm writting a bug report on that); on CentOS you will have to manually update /etc/sysconfig/networking file by adding full DNS name you acquired at step 7b) there, to persist the hostname.
d) you can leave other settings at their defaults, or set them as you wish; but please remember, that we recommend setting tomcat's allocation limits to at least 4G for production environments (so the box should have at least 5-6GB of physical memory); and you must use 64bit OS for running Gluu
e) complete the setup
10) Do not modify any config files other than mentioned above, like the ones mentioned in that guide you tried to follow - it doesn't seem to represent current situation well.
11) Now you should be able to connect to the host from your working PC by using that DNS name from step 7b)