If you want to install software on a Azure Web Role then you can do it in 3 different ways as listed here:
If you have an Azure Website (not a role) then you don't have full control of your VM, even if you have a dedicated instance. But there is a way I read that you can possibly install some DLL's, in your project at least, I don't think you will have access to many other folders (or any at all) on your instance.
Windows Azure Website with a Startup task using Webmatrix 3 or similar (without using Visual Studio)