Window Azure is an open and flexible cloud platform that enables users to quickly build, deploy, and manage applications and services. It works by providing developers with cloud computing services like infrastructure as a service (IaaS), platform as a service (PaaS), and software as a service (SaaS) through the Azure platform. Azure offers opportunities to store data, move applications, extend applications, and create new cloud services by combining available services. Users have flexibility in choosing programming languages, development frameworks, and management tools when building solutions on Azure.