Another way to deploy to Azure Cloud is using a FTP client which saves time by not needing to install everything mention above.
1. Have the GeneXus .Net application locally where the database is configured with the Azure server information (host, user, etc)
2. From portal.azure.com create a WebApp
3. With a FTP Client (Filezilla, Winscp, ... ) copy the GeneXus .NET application into the Azure Cloud
Warning: Verify that the Framework configured in Azure application pool is the same used to compile the application in GeneXus.