I ran into an issue today running version 3.8. I just downloaded it and copied it to a directory hanging off c:\. The Wizard ran without a hitch but generated a T-SQL script that was invalid for Azure. After some troubleshooting with the script in Management Studio, I found out that Windows 7 had blocked the downloaded "NotSupportedByAzureFile.Config" file. When I right clicked on the file and selected Properties, and pressed the "Unblock" button, the Migration Wizard worked fine. Just wanted to make others aware in case they ran into a similar issue.