Worker roles must extend the RoleEntryPoint class to add functionality to the role instances. Web roles can optionally extend the RoleEntryPoint class, or can use the ASP.NET lifecycle management methods to handle the start and stop sequences. For a VM role, Windows Services are used instead of the RoleEntryPoint class. For more information about how to create a Windows Service for a VM role, see How to Develop an Adapter for a VM Role in Windows Azure.
For more information about life cycle management, see Overview of Building an Application that Runs in a Hosted Service.