Azure Machine Learning Studio allows users to quickly create and deploy predictive models as analytics solutions in the cloud. Predictive analytics uses machine learning techniques like statistical analysis to analyze data, identify patterns and trends, and forecast future events. The Azure Machine Learning Studio demo illustrates how to work with different data sources and formats, prepare the data through cleaning and filtering, and build and evaluate machine learning models using algorithms like logistic regression, decision trees, and neural networks. The models can then be deployed as web services and accessed through a web application.