I'm not talking about the Azure VM here; rather the Azure web site option.
As Mrs. Beaton would say "First catch your rabbit". For Java, this becomes "First catch your .war file".
You can create a simple Java web site in either Eclipse or NetBeans - whatever floats your boat.
Work through the following documentation:
Get started with Azure web sites and Java
Adding an application to your Java web site on Azure
I used the "Create a Java web site using the Azure configuration UI" option.
OK, but when you display the web site URL, you get the "This Java based application has been successfully created". So where's my index.jsp?
From the dashboard of the Azure web site, you'll see the FTP address. I use FileZilla.
Before you can use this, you have to set the credentials. There's a link under "Quick Glance" called "Reset your deployment credentials". So set them.
Assume your web site is called MyJavaWebSite.
So to get FileZilla to work, you use the FTP URL from the dashboard page, your user name is:
and the password is whatever you chose.
On the LHS menu, navigate to your war file. On the RHS, navigate to:
Copy the war file over.
Now navigate to the actual Azure web site URL. Still shows the canned screen.
So append /MyJavaWebSite/index.jsp to the URL.