When creating an SQL Azure database you have to specify a server admin login. You can use this admin account to access SQL Azure via SQL Server Management Studio with the authentication mode set to SQL Server Authentication.
After you create a SQL Azure database, you can access and populate the database via SQL Server Management Studio as you would do with an on prmemise database. The database to connect to has the following format [custom name].database.windows.net. To use SQL Azure from your local machine, you have to add firewall rules. Once again, the place where you can specify the firewall rules is not exactly intuitive. When you select the database, you see a button [Open in Visual Studio]. When you click this button, you get a blade where you can click on link Configure your Firewall. Note that you can also click Show Firewall Settings on the database server property page. You can find your IP adres via whatsmyip.com.
Other checks you can perform in case of connections issues:
- Go to the SQL Server Configuration Manager -> SQL Server Network Configuration -> Check if Named Pipes and TCP/IP are enabled.
- Open Server Manager -> Tools / Windows Firewall and security -> Set outbound connections allowed
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