I´ve installed the Azure SDK 1.2 on my computer and tried to debug the application. But as a result I received the following error message. Reason: Instead of the SQLExpress Installation I installed a SQL Server 2008R2.
But, like always, there is a little trick. ;)
Error message
That´s my error message:
Windows Azure Tools: Failed to initialize the Development Storage service. Unable to start Development Storage. Failed to start Development Storage: the SQL Server instance "˜localhost\SQLExpress´ could not be found. Please configure the SQL Server instance for Development Storage using the "˜DSInit´ utility in the Windows Azure SDK.
Keep in mind: I´ve installed a SQL Server 2008R2.
Usually you will find the DSInit Tool here:
C:\Program Files\Windows Azure SDK\v1.2\bin\devstore
But while I was opening it I received this error:
Reason: He tries to find the SQLExpress Server but this Server doesn´t exist.
Solution
It´s possible to define the SQL instance-name as a parameter at the tool. But in the standart-installation the SQL Server doesn´t have an instance-name. All you have to do is enter this into the CMD:
C:\Program Files\Windows Azure SDK\v1.2\bin\devstore>DSInit.exe /sqlinstance:
NOW it should be working! 
I found the solution here