In the Virtual Network Gateway configuration enable “IKEv2 and SSTP” as the Point-to-site configuration Tunnel Type
To use EasyRSA certs on Windows. Assuming you have already initialized your EasyRSA ca.crt then you need to create a client cert
./easy-rsa build-client-full client5
./easyrsa export-p12 client5
# you need to supply the client5 passphrase in order to export to the p12 format and import to windows again
Assuming you have already created the root ca.crt you will need to double click on ca.crt and import it. I let it choose where it put it. It ended up in the correct spot. Likewise with the client cert it put it under Personal\Certificates under the Current User certificate store.
Once you download and install the Window Azure VPN client it will simply just connect.