The firewall in SQL Azure is an area that comes up in support calls often. Most of the issues could be resolved by reading this article once through http://msdn.microsoft.com/en-us/library/azure/ee621782.aspx.
What you need to know:
- You can’t access the database remotely without adding rules for your IP Address.
- If you enable the rule Allow other Azure services to access to this server your Azure services can reach the DB.
- It can take up to 5 minutes for changes to take effect