Integrating ADFS with the Windows Azure Control Service(ACS) is not that hard but requires a long list of steps and actions. While searching for some clues I found the following blog post: http://blogs.msdn.com/b/willpe/archive/2010/10/25/windows-authentication-adfs-and-the-access-control-service.aspx
It contains all the information you need to setup federation between your on-premise Active Directory domain and ACS. A must read!