Setting up ACS and using it for authentication against an identity provider such as Windows Live ID is actually pretty easy. There is a fairly detailed walkthrough at
http://www.windowsazure.com/en-us/develop/net/how-to-guides/access-control/. The Windows Azure Training Kit (June 2012 -
http://www.microsoft.com/en-us/download/details.aspx?id=8396) also has some nice samples and hands-on labs.