This 10 minute video, will demonstrate how to use the security features in SQL Azure to control access to your cloud database. This walkthrough shows how to create a secure connection to a database server, how to manage SQL Azure database settings on the firewall, and how to create and map users and logins to control authentication and authorization.
One of the strengths of SQL Azure is that it provides encrypted SSL communications between the cloud database and the running application. It doesn't matter whether it's running on Windows Azure, on-premises, or with a hosting service. All communications between the SQL Azure Database and the application utilize encryption (SSL) at all times.
Firewall rules prevent only specific IP addresses or IP-address ranges to access a SQL Azure database. Like SQL Server, users and logins can be mapped to a specific database or server-level roles which can provide complete control, restrict a user to just read-only access of a database, or no access at all.
You'll be walked through a straightforward example here, which really shows the benefits of SQL Azure.
There's also database scripts and code you can download on Codeplex to follow along and re-create this example.