This is very famous issue when you create many Virtual Machines on Windows Azure, after deleting the VMs the virtual disks (VHD files) are still there.
So far there is no way to remove these VHD files using the GUI interface, so I started to search how can I do it through PowerShell. The challenge of Azure PowerShell is that most of the resources available for developers using Visual Studio, for me any thing starts with Visual Studio is sort of mystery (The nice story that one of my developer friends identify SharePoint Site Collection: is a site contains collections is true story) that should be left to wisdom men (like this friend) who can understand it.