1. Yes, you can
2. Transfer of data between SQL Server instance and SQL Azure not supported
Because BCP is a bundle utility for SQL Server(Azure) and can not access Azure Storage directly
I think you need to develope proper application for transferring data from Azure Storage to SQL Server(Azure)
You will need to look up StorageClient library
http://msdn.microsoft.com/ko-kr/library/microsoft.windowsazure.storageclient.aspx
3. You only need excutable file (BCP)
If you need more detailed information, please follow the link below
http://msdn.microsoft.com/en-us/library/ms162802(SQL.105).aspx
I hope my answers helpful for you