If you are here, you are probably going nuts with this exception with Windows Azure. It is dumber and simpler than you think. You have as startup project probably your web role or another project. You need to have your main project selected so that it starts the compute emulator, storage and everything else!
As simple as that
Server Error in ‘/’ Application.
External component has thrown an exception.
Description: An unhandled exception occurred during the execution of the current web request. Please review the stack trace for more information about the error and where it originated in the code.
Exception Details: System.Runtime.InteropServices.SEHException: External component has thrown an exception.
An unhandled exception was generated during the execution of the current web request. Information regarding the origin and location of the exception can be identified using the exception stack trace below.
[SEHException (0x80004005): External component has thrown an exception.]
RdGetLocalResource(UInt16* , _RD_RESOURCE** ) +0
_LOCALRESOURCE.GetLocalResourceW(UInt16* name, _LOCALRESOURCE** ppout) +157
RoleEnvironmentGetLocalResourceW(UInt16* name, _LOCALRESOURCE** ppout) +67
Microsoft.WindowsAzure.ServiceRuntime.Internal.InteropRoleManager.GetLocalResource(String name, InteropLocalResource& ret) +65
Microsoft.WindowsAzure.ServiceRuntime.RoleEnvironment.GetLocalResource(String localResourceName) +85