I am using the web portal http://portal.azure.com and I cannot find the VHDs associated with Virtual Machines. Neither the VHDs from current machines, nor those of machines I have deleted. I should be able to select the Storage Account associated with the resource group I created the machines with an list them there. However I can only see options for Blobs,Files,Tables and Queues. From the documentation I think they should be be blobs, but selecting blobs nothing is listed and the interface tells me I have no containers. However the storage endpoint for the VHDs (which I can pick out from a VM definition) does show a URL like this: https://myfirstresourcegroupXXXX.blob.core.windows.net/vhds/
Go to: https://portal.azure.com/ click on:
-> Browse > (lower left)
-> Storage Accounts (you should star it, so it's pinned to the left pane)
-> TheNameOfYourStorageAccount
-> Blobs (It's below the text description under "Services")
-> vhds
Finally you'll have the list of VHDs :) easy... or? ;)