[This article was contributed by the SQL Azure team.]
It's important to understand that connecting to SQL Azure using ADO.net, is very similar to how the connection was made using SQL Server. MSDN has written a tutorial on how to do so. The article provides a quick walkthrough and offers some considerations in connecting to a SQL Azure Database using ADO.net. Take a few minutes to read through it, and then give it a try.
Click here for the link to the MSDN article