Before installing the SDK, you must remove previous versions you may have installed. Right-click the Microsoft Windows Installer file, and then click Uninstall to remove the SDK. Then, install the SDK on your computer by running the Windows Installer file. By default, the SDK is installed into the C:\Program Files\Windows Azure SDK\ directory.
Note that you must provide administrator credentials to install, uninstall, or repair the SDK if you are installing as a user other than the computer administrator. If you are not the administrator and you are not running in elevated mode, you'll be prompted with User Account Control (UAC) dialog boxes.