I have minimal experience with Windows Azure.
I got a VM running, connected to it using remote desktop, pasted my C# executable there.
Then, I installed the Visual Studio remote debugging tools, started it, configured it to allow on authenticated connections from any user, and configured an endpoint to the port it mentioned (4018).
But I can't seem to be able to hook visual studio to the instance. I tried entering the VM address:port but that didn't seem to work.
Is that even possible to do, or must the remote machine be on the same network and not over the internet? Is there any guide explaining the process? Most of what I found were relating to debugging an azure application, but nothing seemed to be about an arbitrary program.
Remote debugging with Visual Studio Remote Debugging tools is not supported through internet - http://msdn.microsoft.com/en-us/library/vstudio/bt727f1t.aspx
So you may have to switch to good old style of writing logs and analysing them.