You can link your Windows Azure Virtual Network to an on-premises network via site-to-site VPN connection, as illustrated above.
All you need is a VPN device on your home network and a direct connection to the internet.
The list of (currently) supported devices is here. I would expect this list to grow over time.
If you don’t seen your VPN device in the list, your device still may work with Windows Azure Virtual Network if it satisfies these requirements:
I hope to be posting more about Windows Azure IaaS over the coming weeks & months..
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Extending your Datacentre into Azure