There are separate PowerShell commands and a shell that are used to control Azure. These are different from the regular PowerShell cmdlets you would use in your own environment. You will need to download the shell to run on your own computer to execute the commands. I have also included some guides to downloading them and links to tutorials and references to help you learn them. The videos and blogs at the bottom of the page should be enough to get you going with this.
1. Download, install and configure Windows Azure PowerShell
2. Use the Windows Azure PowerShell Reference Guide to understand what each cmdlet does
Introduction to Windows Azure Powershell – Channel 9/MSDN
Windows Azure PowerShell Demos – Channel 9/MSDN
Take Control of the Cloud with the Windows Azure PowerShell Cmdlets – Channel 9/MSDN