According to Microsoft's FAQ at
http://msdn.microsoft.com/library/windowsazure/dn133803.aspx
"If I restart a client computer configured for point-to-site, will the VPN automatically reconnect?
By default, the client computer will not reestablish the VPN connection automatically. However, you can change this setting in the VPN client properties to allow the client to automatically reconnect."
The problem is that there is no where in the VPN properties (the downloaded VPN package from Azure portal) that allows one to automatically connect.
How do I enable this?