In order to Enter PS Session on the remote VM within Azure IaaS you need to start up Azure PowerShell program under Administrative account on your computer

PS C:\> $user = "siteUser"

PS C:\> $pass=ConvertTo-SecureString "sitePassword" -AsPlainText -Force
PS C:\> $cred = New-Object System.Management.Automation.PSCredential -ArgumentList $user, $pass

PS C:\dev\Azure\PowerShell> Enter-PSSession -ComputerName siteSubdomain.cloudapp.net -Port 5986 -Credential $cred -UseSSL -SessionOption (New-PSSessionOption -SkipCACheck -SkipCNCheck)

Note that (New-PSSessionOption -SkipCACheck -SkipCNCheck) command line is used to skip certificate check on the remote Azure VM. This is not generally recommended. 

Successful execution of this PowerShell will result in the following line

[siteSubdomain.cloudapp.net]: PS C:\Users\siteUser\Documents>