Windows Azure compute service is built on top of different
roles. A service may run over one or more instances of a role. Also, it can consist
of different types of roles. Azure support three types of roles
Web Role: Web application runs on the web role.
Worker Role: Any windows code will run as background process
using Worker role.
VM Role: for hosting a custom Windows Server 2008 R2 image.
For more details, refer my article in http://www.dotnetfunda.com/articles/article1293-introduction-to-windows-azure-.aspx