If you don't already have one, set up an Azure subscription from the Azure welcome website

In order for the DryadLINQ submission process to work smoothly, you must install and configure the Azure powershell tools. In the "How to: Connect to your subscription" item, follow the instructions under "Use the certificate method." Ensure that your environment is correctly setup by running Get-AzureSubscription and verifying that your subscription has information identifying the management certificate.

If you don't already have one, you need to create an HDInsight 3.0 cluster. (Note that the page title talks about "Hadoop 2.2"---this is correct, since HDInsight 3.0 uses Hadoop 2.2.)

Make a note of the default storage account and container for your cluster if you want to use the sample program, since it reads from data stored in that container.