[This article was contributed by the SQL Azure team.]
Starting with SQL Server 2008 R2, SQL Server Management Studio can connect directly to SQL Azure. The minimum install to do this is SQL Server Management Studio Express Edition (download here for free); however any version of SQL Server (except SQL Server Express) that includes the SQL Server Management Studio will work.
Here is how to us SQL Server Management Studio to attach to SQL Azure:
1. The first step is to figure out your server name, to do this go to the SQL Azure Portal.
2. Login with your Windows Live Id
3. Click on your project name.
4. You should be at the Server Administration page.
5. Highlight the server name in the browser and copy (Ctrl-C) in your clipboard.
6. Now open SQL Server Management Studio 2008 R2. By default it will open the Connect to Server dialog.
7. Paste in the full DNS of the server stored in the clipboard into Server Name.
8. In the login box enter in your Administrator username for SQL Azure, this was on the Server Administration page where you got the full DNS of the server from.
9. The password is your SQL Azure password.
10. Click on Options >>
11. This will take you to the Connection Properties tab, check the Encrypt connection box. You should always encrypt your connection, see this previous blog post for why.
12. Press the Connect button.
It is that easy to start administrating SQL Azure using SQL Server Management Studio 2008 R2. Do you have questions, concerns, comments? Post them below and we will try to address them.