Microsoft Azure is a great product for entrepreneurs. It can be difficult to set up your custom domain name. Azure requires you to jump through some hoops. This is a quick fix to this problem. My domain registrar is Network Solutions, so the images are from their site. The concepts should be the same.
First, set up your A Records. Leave www blank.
Second, set up the CNAME records. Note the awverify items. These are Azure specific. Also note that www.katejefferson.com points to the Azure website.
These may take a few hours to populate. When ready, go to the Azure Management Portal, choose your website, go to Dashboard, and Manage Domains. If your domains are ready to use, when you enter them in the input box a green check will appear. If you get a red exclamation point, review the other steps or wait. Domain registrar changes can take up to 24 hours to populate.