I don't think pruning will improve it's health. Give it some time and maybe prune out the dead stems after you determine they are dead or not.
It looks as if you planted it with the weak side in front. You might want to re-orientate it to show it's best side.
Here's one of mine with the typical brick red color. Captivation is in the foreground.
Mike
{{gwi:391900}}

Wow, Mike, that's gorgeous! My azalea has surprised me. It has looked much better after transplanting than ever before. I expected it to be shocked or something, esp as I hacked away at the root ball when I transplanted it since it seemed the roots had not expanded much. It bloomed well despite all this, and I'm going to attempt to prune it tomorrow. I guess I can tell the dead branches if they just snap off and don't show any green. I figure it will do best if I prune all that out. And I'll try to shape it a bit while I'm at it. (Sorry for the delayed response; I didn't get a notification of the reply)

Azaleas move with little problems. In fact, moving them sometimes is the best move you can make. More often than not though, giving them some time where they're at is the best move.
That wasn't much help, was it? ;-)
Cut off the dead stuff and go from there.
Mike

Thanks Mike. I pruned out the dead stuff and shaped it a little today. It had just finished blooming so hopefully my timing was good. Not sure how azaleas behave. Hopefully it will put on new growth and fill in some . . . time will tell.