Q:

Possible to install a windows service on azure?

On the azure site they write about your application being run in a window server environment and that you should be able to run anything that you normally can on a window server.
So is it possible to install a windows service on azure?

A:

Yet another update: You can absolutely install a Windows Service on an Azure compute instance, whether Web Role, Worker Role, or VM Role. There are startup tasks that let you execute elevated-privilege code in your Web / Worker Roles. I won't say it's exactly straightforward, but you can do it. For an example, check out this blog post.
Now: As @Adron states, there are better ways to go about managing your code in Windows Azure, which has similar event-handling in its OnStart(), Run(), Stopping(), and OnStop() overrides / events. You can migrate your existing service code to these methods. But... if you really need to stick with a direct port, leaving your code as-is, then yes, you can do it.

