If you see the following error:
web.config not found in project, to create a project to deploy to Windows Azure you must create a Windows Azure Node.js project.
....you may have created the wrong type of Visual Studio Project. You want a "Windows Azure Node.js Application" not a "Node.js Web Application". The former creates a few extra files that are needed for Azure (Web.cloud.config & Web.config).
You may be able to create a dummy VS project of the correct type and then copy these files into your existing project. Alternatively create a new project of the correct type and copy your source files into the new project.