To start, set up your development environment by installing the Azure SDK for Visual Studio 2015 or the Azure SDK for Visual Studio 2013.
If you don't have Visual Studio installed, use the link for Visual Studio 2015, and Visual Studio will be installed along with the SDK.
Note
Depending on how many of the SDK dependencies you already have on your machine, installing the SDK could take a long time, from several minutes to a half hour or more.