This is a useful site for azure table service documentation:
http://www.windowsazure.com/en-us/develop/net/how-to-guides/table-services/
It is a good starting point but does have problems.
The update or insert example will fail if the item does not exist.
The example appears to show that a retrieve operation will provide an empty object if the item is not found.
This is not the case. You simply need to create an entity and treat it like the insert example.