I believe you are using a Windows Azure Web Role and on Windows Azure Web Role, native HttpModule configuration with IIS will be the same as and other IIS server the only trick here is that you would be using Startup task to run AppCmd command to install, register and configure your native module.
The basic command you would need in your startup task will be similar to as below:
appcmd install module /name: string /image: string /add:true|false /lock:true|false
For example, to register, enable, and lock a module named ImageCopyrightModule with the .dll file in the %windir%\system32\inetsrv directory, type the following at the command prompt, and then press ENTER:
appcmd install module /name: ImageCopyrightModule /image:c:/%windir%/system32/inetsrv/ imageCopyrightModule .dll /add:true /lock:true