To connect to SQL Azure via the SQL Server Management Studio follow the below steps:
1. Open SQL Server Management Studio, you will be presented with Connect to Server Prompt.
2. Provide your valid Server name, Login and Password.
3. Press Connect. Probably you may get connection error for your IP address due to firewall issue.
4. You can add your IP address in the firewall list on the Azure web server.
5. Once you get access you can logon successfully to the Azure database. But you may not get full access to see all the databases, you may have access for only one database.
6. To connect to the particular database, click on the Options tab.
7. You will present with Logon with Options dialog, Click on Connection Properties tab.
8. Enter name of the database for the connection.
9. Press Connect you should successfully connect to your SQL Azure instance.