Installing New Relic on Windows Azure is a bit of a pain so I've created a NuGet package for it to make it dead easy. I'll keep it updated with the latest NewRelic releases.
Make sure you go to New Relic first to sign up and get your key. Performance monitoring will never be the same after you do!
The package will be available through your NuGet package manager. You can view it on the web as well:
Once you install the NuGet package you will need to follow these instructions to finish your setup before depolyment: