Ok, the title of this post is a little scarey, but some developers have been trying to do this at least while initially testing SQL Azure.  A little background first...

As you may have heard over on the SQL Azure blog, an October CTP was released for SQL Azure which includes (along with other features) the ability to choose which IP addresses can connect to SQL Azure for additional security.  The default firewall setting is to block all incoming connections, so you'll need to open up some acceptible range before you'll get access.  If you don't, the first time you attempt to connect you'll likely get an error to the effect of; "Cannot open server 'xxxxx' requested by the login.  Client with IP address 'n.n.n.n' is not allowed to access the server.  By the way, this is one of the improvements in the October CTP; better error messages.

To resolve this issue, you need to go to the https://sql.azure.com portal and click on the "Firewall Settings" tab in Server Administration.  As a responsible network admin, you may opt to add a record with a valid IP range.  To effectively disable the SQL Azure firewall, just enter the IP Address Range from: 0.0.0.0 to: 255.255.255.255. Obviously this is not recommended nor advised, but for those of you testing from multiple locations, this will be the easiest way to ensure access.