I setup my first Azure Cloude Service as well as Web Role. When I build and then publish application I can only see bin directory with all my dlls. I don't have any folders or aspx files. \ProjectName.CloudService\bin\Debug\ProjectName.CloudService.csx\roles\Web\bin
How can I compile other files.
Are the .aspx files actually added to the Visual Studio project? (Visual Studio only copies the files it knows about.) If you don't see them in the treeview for the project, click the button at the top that shows files not part of the project, and then right-click and "include in project" on the files you're missing.
If that doesn't work, you might consider heading over to the MSDN forum for Windows Azure: http://social.msdn.microsoft.com/forums/en-us/windowsazure/threads and asking there.
If you look in your Cloud Service project folder, you won't find the aspx files, dlls, etc. The Cloud Service project folder will only contain your configuration files and eventually your packaged Azure deployment files. You'll want to look in bin\Debug\ folder under your Web Role (ASP.NET) project.