The Windows Azure Team has posted a blog entry explaining the new Full IIS Capabilities in Windows Azure Hosting.
It is an interesting read. Basically the full IIS feature is enabled via the configuration of your package.
The very important caveat is the following: the IIS Process isn’t the web role process. This has the big implication that your role hooks (i.e. RoleEntryPoint) do not run in the same process than your application. Read the blog entry in order to see how to alleviate to that problem.