We are trying to evaluate and eventually migrate to the windows azure cloud platform.
I am stumbling on the installation process…
I’m currently following this tutorial.
I can’t get the Windows development Fabric interface working like on this picture.
When I install the app fabric sdk (downloaded here) I get no .exe program to simulate the cloud…
I installed Windows AppFabric which is not what I need (I think).
I keep on being directed on AppPlatformInstaller which do not install what I need but I’m sure is part of my solution.

You are downloading wrong SDK. For Windows Azure Cloud platform you must download and install Windows Azure SDK And Tools for Visual Studio.
Then you will have a folder %Program Files%\Windows Azure SDK\v1.5\bin. There will be devfabric and devstore folders, under which the local development Frabric and Development Storage executables will reside.
Then if you are targeting .NET based solutions, you will have new project templates in Visual Studio, and everything shall be running smoothly. On the other hand, if you are targeting open source solutions you might want to follow the like provided by Ben.
As for Windows AppFabric – yes, it is wrong in terms that it is not related to Windows Azure at all.
Let us know if you have any issues when downloading and installing latest Windows Azure SDK And Tools for Visual Studio