Given that Azure has many services, you have several options. One important thing to consider when using Azure is that your work roles , which are just Windows Server 2008 without installing IIS, are very flexible, so you can do a lot with them - this includes your own FTP server and the possibility of its placement through virtual machines of a working role. FTP for Azure Blob Storage Bridge (on CodePlex) is an example of this.
Alternatively, you can use the web role (which is the same as the working role, but with IIS support) to do the same - so instead of collapsing your own FTP server, you can use the IIS Visual Guide to Configuring IIS to act as an FTP server in Azure can be found in ITQ. Id recommends doing some extra readings to determine which one is better. Also think about your requirements, as this may affect your approach, i.e. scaling, bandwidth, cost, preferred deployment model, etc.
As for file storage, you can use Blob Storage. If you do not need a relational database on your system, you can completely refuse to use SQL Azure (in this case, the web role solution mentioned above will not make much sense), but again, that comes down to your specific requirements.
The official website The official Windows Azure website is a good source of knowledge, especially if you are starting out, so do not rush to view some of the related documentation.
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