All access to SQL azure is blocked by firewall.
By default Database created on SQL Azure is blocked by firewall for the security reason.. Any try to external access or access from any azure application is blocked by firewall.
Image taken from MSDN
Connecting from Local system
When we want to connect SQL Azure portal from network system or local system then we need to configure firewall at local system. We need to create an exception for port 1433 at local firewall. Click here to see how to do this?
Connecting from Internet
The entire request to connect to SQL Azure from Internet is blocked by SQL Azure firewall. When a request comes from Internet
a. SQL Azure checks the IP address of system making the request
b. If IP address is in between the range of IP address set as firewall rule of SQL Azure portal then connection get established.
Later in this article we will see how to create firewall rule on SQL Azure portal.
Follow below steps to create rules to
Step1
After login to SQL Azure portal, click on Firewall settings tab.
Step 2
Click on Add Rule. To see the IP address of your local system, you can check Your IP address. Make a note here is that IP address you see using IPCONFIG on local system and IP address registered with SQL Azure portal is different.
So check the Your IP address here and set the range such that your IP address lies in that range. After giving name and IP range click on Submit.
Connecting from Windows Azure
To connect from Windows Azure application you need to check the check boxes.
And set the Firewall rule for MicrosoftServices in the range of 0.0.0.0 to 0.0.0.0
After following the below steps
1. Creating Firewall rules by setting the range such that your IP address come under that range.
2. Creating the Exception at local firewall for port 1433.
You should able to connect to SQL Azure Data base. To test the connection select database from database tab and click on Test connectivity.
You would be prompted to provide user name and password
Provide user name and password and click on Connect . On successful connection you will get the below success message.
Dhananjay Kumar 
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