Creating Virtual Network Azure - The Gateway was not created
Yes, you need to click the create gateway button. :)
Here are the steps to create the site to site VPN. http://blogs.technet.com/b/canitpro/archive/2013/10/09/step-by-step-create-a-site-to-site-vpn-between-your-network-and-azure.aspx
Also this can be done manually: http://blogs.msdn.com/b/igorpag/archive/2013/08/27/manually-adding-a-vpn-gateway-to-azure-virtual-network.aspx