Windows Azure AppFabric is a key component of the Windows Azure Platform. It includes three services: AppFabric Access Control, AppFabric Service Bus and AppFabric Caching Service. In Kentico CMS you have to use it if your application runs on more than 1 instance (an X value of the count property of the Instances setting in your application configuration file):
<Instances count="X" />
This number determines number of instances used for the CMSApp role, which represents the Kentico CMS application. It determines how many virtual machines will be dedicated to the website, so its performance and load handling capacity will increase with each instance. Each instance will be represented by a separate web farm server within the Kentico CMS system.
However, if you wish to use more than one instance for the application, you will also need a Windows Azure AppFabric Cache service namespace as part of your subscription to enable sharing of the session state between multiple instances.
You can download Windows Azure AppFabric SDK V1.0 from here and follow instructions in your Kentico CMS 7 Windows Azure Deployment Guide.
Session State on Windows Azure