When a computer attempts to connect to a SQL Azure server from the Internet, the SQL Azure firewall checks the originating IP address of the request against the full set of firewall settings. If the IP address of the request is not within one of the ranges specified, the connection attempt is blocked and does not reach the SQL Azure server.



You will have to create a new firewall rule.

To do that go to http://windows.azure.com
and allow your IP address to connect your SQL Azure server



More info can be found in this Troubleshooting Guide