This is pretty self explanatory and well documented already. Basically in DPM 2012 R2 you can add on-line storage to your protection groups and it will then backup to the Azure cloud.
There is a guide here, but if you prefer reading my explanations, then read on.
You need a copy of the Windows SDK 8.1 to get makecert.exe, grab that here.
Instructions on how to use makecert.exe can be found here.
Install and then create your self signed certificate by running:
makecert.exe -r -pe -n CN=AzureBackup -ss my -sr localmachine -eku 22.214.171.124.126.96.36.199.2 -len 2048 -e 01/01/2016 AzureBackup.cer
Login to the Azure portal and then choose Recovery Services and create a Vault.
When it asks for a certificate, chose the one you just created and upload it.
In DPM, register the agent and then upload the same certificate. It will match this against the one in your Vault and let the 2 talk to each other.
Once complete, the Vault will be available from DPM and you can backup some of your stuff to the cloud (At the time of writing you can only backup Files, SQL and Virtual Machines)
As it turns out I’m no longer using this as I’ve instead setup a Virtual Machine running DPM.