How do I setup a VPN service like “hide my ass” using Azure?

Solution 1:

You'll need to set up a VPN connection through Azure. By default the VPN connection will route all your computer's traffic through the VPN connection while you're connected. This can be changed within the VPN properties from your computer.

Here's a good article explaining the process: http://www.cloudcomputingadmin.com/articles-tutorials/windows-azure/configure-client-based-remote-access-vpn-windows-azure-virtual-networks.html