If you received following error message:
Cannot open database "<DBName>" requested by the login. The login failed.
Login failed for user '<UserName>'.
This session has been assigned a tracing ID of <GUID>'. Provide this tracing ID to customer support when you need assistance.
It probably means that you used just a name of your database in the Database field, instead of a Fully Qualified DNS Name. You can see both values in the Windows Azure UI, in the Properties of the given database. Instead of using <DBName> only, you have to use “<DBName>.database.windows.net” name.