If we want to connect to SQL Azure from local system then we need to create an exception at local firewall for TCP port 1433.
Follow the below steps to create Exception on Windows 7 machine
Click on Start button and then in Search text box type Firewall.
You will able to see on top under Program tab , Windows Firewall with advanced security
Right click on Windows firewall advanced security and select run as administrator
You will get the below window
Click on OutBound rules and then create on New Rules
Now select PORT radio button and click Next
Select TCP and Specific Remote port radio button.
In specific port address give port number 1433 to allow local system to connect to SQL Azure.
Click Next , select Allow the Connection radio button.
Click next and select all the option in check box.
Click Next then give name and description to rule and click on Finish button
Now after this step we have created rule at local firewall to connect to SQL Azure