Azure now offers users the ability to craft their own Windows images and run them on Microsoft’s cloud. These VM Roles are built by you (sysprep recommended) and uploaded to your blob storage. When you create a service around your custom VMs and start the instances, Fabric Controller takes pains to redundantly ensure redundancy. It makes a shadow copy of your file, caches that shadow copy (in the VHD cacher, of course) and then creates the three VHDs seen above for each VM needed. From there, you’re on your own; Microsoft does not consider having to perform your own patches an asset in Azure.
VM Role: User-created, unsupported Windows Server 2008 virtual machine images that are uploaded by the user and controlled through the user portal. Unlike Web and Worker Roles, these are not updated and maintained automatically by Azure.
Worker Role: An instance configured not to run IIS but instead to run applications developed and/or uploaded to the VM by the end user.
How-azure-actually-works-courtesy-of-mark-russinovich