A couple people have ripped me about the only available on Vista and Windows Server 2008 line. Clearly it will work with Windows 7, but that OS was not even out when I wrote the article. And as far as XP goes, I will need to check the facts because I have a strong suspicion that I was confusing Windows Azure - which definitely does not work with XP - with SQL Azure. There is no reason why it shouldn't. Since I just wiped my XP laptop to install Windows 7, I can't verify, but I'll edit the article accordingly. That's not the kind of rumor I want to propagate.
SQL Azure will or should work with Windows XP. But the question to the users is really, what tool are you using against SQL Azure? Because the tool defines the system requirements, not SQL Azure.
I have tested under Windows XP SP2 using VBScript and QueryExPlus and QueryExpress to connect to SQL Azure and query a database there.
Since SQL 2005 and SQL 2008 run on XP as well, you can use SSMS to connect to SQL Azure from XP.
Note however, that if you use ODBC and OLEDB for SQL Azure and don't have SQL 2008 installed on machine, you will need to have the SQL Server Native Client 10 (or 2008) database driver installed. I don't know if any OS comes with that preinstalled but XP does not have that. The driver is available as an MSI redistributable that you can find online from MS if you google for it.