Robert Sheldon has a getting started guide for Azure SQL Data Warehouse:
In my Simple-Talk article Azure SQL Data Warehouse, I introduced you to SQL Data Warehouse and gave you an overview of the architecture and technologies that drive the service and make it all work. In this article, I go a step further and provide details about getting started with SQL Data Warehouse, demonstrating how to add a sample database and then accessing the server and database settings.
If you want to follow along with my examples and try out SQL Data Warehouse for yourself, you must have an active Azure subscription, even if it’s just the free trial. For those who have already used up their free trial, be aware that SQL Data Warehouse is a pay-as-you-go service, even though it’s still in preview, so unless you’re on an unlimited company budget or happen to have accrued MSDN credits, you’ll want to be judicious in how you try out the service. Fortunately, as you’ll see in this article, you can pause the compute resources when not in use, helping to minimize the costs associated with learning about the service.
This article is all about initial installation and configuration.