I have followed the instructions in these links http://www.isaserver.org/articles-tutorials/configuration-general/Enable-Cross-Premises-Connectivity-Windows-Azure-Forefront-Threat-Management-Gateway-TMG-2010.html and http://blog.kloud.com.au/2012/07/25/windows-azure-virtual-network-vpn-with-tmg-2010/
I have tried everything and in the Azure portal I still get the message "Unable to establish the cross-premise tunnel for ITCS. Previous state: Initializing. Current state: Not Connected. 7/19/2013 8:59:48 AM"
Thomas Derenthal