If you start SSDT 2015 you will see a greyed out Azure toolbox section. If you select it you will find a download link. Download and install both the 32bit and the 64bit version.
|Download link in the toolbox|
Installation (of both 32 and 64bit) is very simple Next, Accept, Next, Install and Finish.
|Feature Pack for Azure Setup|
|New toolbox items|
New features: 1 compression
The Azure Blob Source and Destination now support (de)compression (GZIP/DEFLATE/BZIP2), but the upload and download task don't.
|Azure Blob Source|
|Azure Blob Destination|
New features: 2 Storage Connection Manager
The new Storage Connection Manager now also supports the new Storage Account (and also the Classic Storage Account). The old storage account uses the REST API and the new storage account uses the Azure Resource Manager (ARM) API, which is wrapped in PowerShell. Nearly the same, but managed differently. The new Storage Connection Manager also has an extra option to choose an other domain (Azure moon cake).
|New Storage Connection Manager|
|Old Storage Connection Manager|
Unfortunately still no 'Azure File System Task' (please upvote).
All download links: