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Microsoft announced during TechEd NA 2014 the release of 3 new security extensions that enable  Built-in Anti-Virus Support via the VM Agent for Azure Virtual Machines:

•  Microsoft Antimalware
• Symantec Endpoint Protection
• TrendMicro’s Deep Security Agent

The VM Agent is a lightweight and unobtrusive process that you can optionally enable to run inside your Windows and Linux VMs. The VM Agent can then be used to install and manage extensions, which are software modules that extend the functionality of a VM and help make common management scenarios easier.

These extensions enable you to add richer security protection to the Virtual Machines hosted in Azure using industry security products.

To enable it, in the Azure Management Portal, in the Virtual Machine Configuration, check Install VM Agent and then select the desired Anti Virus protection:

You can also use the command line (PowerShell) to enable it.