Dude, I don't mean to offend you, but please watch your caps lock and try to fill your posts with some information. And stop pushing your questions, when nobody answers, especially when the question is so unclear that one can only guess what you mean.
About your question, Azula shot Iroh and all attention turned him, giving her the chance to escape. Nobody tried to follow her, since everbody was concerned about Iroh.
@munnimann: well, i dont want to start a fight but... since i joined this wiki, i used caps lock everytime... even to other users and admins... it's my habit... i'm really sorry.... but, it's hard to get away with that...
it's not in the desert, it's in a ruined city... The Chase
@munnimann: but how can azula make a sphere of fire?
While this is being necroposted, the fact that we can see Azula inside of the sphere looks like lazy editing to me. She's just standing there doing nothing, almost like they didn't bother to remove the model.
Seeing those pictures, my guess is that she went out the door. Seems to be there for a reason. However, I've never given it much thought, because there are many "smoke and disappear" escapes throughout the series.
Edit - Upon rewatching "Ember Island Players," they show her being attacked on stage and escaping through a door. Then everyone pondered what happened to her. So I'm guessing that's the most logical conclusion (even though I don't know where she would go once she got through the door haha).