I suggest you deploy AD first. http://www.windowsazure.com/en-us/manage/services/networking/active-directory-forest/
Next, for Azure VMs, use:
- VHD. VHDX not supported
- Add-AzureVHD to upload VHDs to Azure.
- Download Azure Powershell here: http://www.windowsazure.com/en-us/downloads/
- It also converts your dynamic disks to fixed (the only supported option in Azure) automatically.
- DHCP. Static IP addresses not supported in Azure VMs.