Web roles in Windows Azure strictly limit to a developer what he may and what he may not do. And you may only run one web role per cloud project. On his blog, Steve Marx presents a possibility to use a worker role to behave like a web role by using a Hosted Web Core process. This is similar to what Windows Azure does, when you start up a web role but gives you more power to your web application. Be careful: you also have to take responsibility for the stuff you do!