This will be sufficient for your Azure apps to run bu you will also need to access the server for development purposes and so additional rules are required. Simply click Add Rule, name the rule and set the IP address range for the rule. In this example I have set an extremely strict rule to only allow my IP access to the database. To turn off the firewall enter the range 0.0.0.0 to 255.255.255.255 but this is obviously not recommended.
Bear in mind your local development environment may also have a firewall and to connect to the SQL Azure database you must have enable TCP communication on TCP port 1433.

The firewall can also be manipulated by executing TSQL against the Master database (you will obviously have to configure a firewall rule allowing a connect from the source of the TSQL first).

View Firewall Rules

The  sys.firewall_rules view contains the ?? id, name, start_ip_address, end_ip_address, create_date and modify_date for the firewall rules.

--Select all firewall rules
select * from sys.firewall_rules

Add/Update Firewall Rules

Use the sp_set_firewall_rule stored procedure to add or update firewall rules, with name, start_ip_address, end_ip_address as the parameters.

--Create a firewall rule
exec sp_set_firewall_rule N'azureSupDev','0.102.129.120','0.102.130.110'

--Update a firewall rule
exec sp_set_firewall_rule N'azureSupDev','0.102.129.120','0.102.130.135'

Delete Firewall Rules

Use the sp_delete_firewall_rule stored procedure to delete firewall rules, with name as the only parameter:

--Delete a firewall rule
exec sp_set_firewall_rule N'azureSupDev','0.102.129.120','0.102.130.135'