Please post a picture.

Several guesses:
1. Too little water
2. Too much Sun.
3. Root rot
4. Azalea lace bug

First, if it was not planted properly the root ball may be totally dry and root bound. Container plants at garden centers have been force fed and get root balls with roots circling around. If this root ball ever gets dry, it will not absorb water unless it is dug up and soaked in a bucket of water. If the circling roots are not cut and opened up, they will eventually girdle the plant.

If the root ball was not dry and it was planted too deeply or in an area with poor drainage, it will develop root rot. This is usually fatal.

Lace bug is easy to spot on the underside of the leaves. It affects plants in too much sun.

Rarefind Nursery has an excellent fact sheet on planting:

Here is a link that might be useful: Tree & Shrub Planting Guide

My azalea got worse, and im affraid to lose it. I think it must be some fungus, who knows how to fight fungus with azaleas?