The problem is likely to be that you are trying to install a software that was released 15 years before the OS was released. There is no reason to expect that to work.
Myself, I run SQL 2000 on a VM running Windows 2000. I don't remember if I ever tried running SQL 2000 on Windows XP. I'm quite sure that it did not work on Windows 7. What I do recall - since I actually try to do that recently - is that I was not able to install SQL7 on Windows 2003 R2.
I don't know what is the oldest OS you can find in Azure, but the older the better. (I don't run my VM in Azure, but run it on my desktop on VMWare.)