Visit the SQL Azure Labs Import Export page for the complete list of things you need.
Dot Net 4 Runtime
In order to use the import and export services of SQL DAC, you will need the .NET 4 runtime installed. You can obtain the .NET 4 installer from the following
Install the following five SQL Server redistributable components on your machine. The only ordering requirement is that SQLSysClrTypes be installed before SharedManagementObjects.
Side-by-side installations with SQL Server “Denali” CTP 1 are not supported and will cause users some issues. Later editions of Sql Server "Denali" (when available) are supported.
Installations of SQL Server 2008 R2 and earlier will not be affected by these CTP components.