In the November 2010 issue of MSDN Magazine, Lynn Langit has written an informative article titled: “Getting Started with SQL Azure Development”. This article provides a good walk-through of creating a SQL Azure database, and outlining some of the differences between SQL Server and SQL Azure. Lynn also provides an overview of the available tools for connecting to SQL Azure, migrating data, and administration.

The article is available on MSDN here: Getting Started with SQL Azure Development