Is there any way I can filter the messages based on properties? I mean, that only with certain properties the Worker role takes it?
[I'm assuming that when you talk about filtering, you mean queue-side filtering, and not client side filtering]
As far as I know, Azure Queues don't have a messaging filtering feature. If you use ServiceBus topics and subscriptions, you can filter based on message properties. See the subscription filters section of this post for more info on that.