Instead of downloading this-and-that item directly, I recommend using Web Platform Installer. WPI is far more convenient, as it comes with everything you'll need.
You'll need the NuGet package for Azure SB.
If you need to test Azure Storage against your local storage before connecting to the Azure one, you may use Web Platform Installer to install Azure SDK, which will install the Azure Storage Emulator. Details.
However, while creating for Azure, the Azure SDK is a really handy piece of software.