Connecting to SQL Azure [FAQ]

Connecting to a SQL Azure database is extremely simple, connection can be done using the classic ADO.NET  method. When a database is created in SQL Azure a connection string is generated. This connection string follows the normal  syntax for connection strings and can be substituted for a connection string to a SQL Server in an ADO.NET Connection object.

There is a subtle difference in connecting compared with SQL Server. When connecting to SQL Server you are first connected to the server and through the server to the database, in Azure you are directly connected to the database. This means that there is no support for context switching using the USE keyword (in SQL Server this allowed the Server to direct a request to a database determined at run-time).