One of the reasons that SQL Azure is such a powerful tool is that it's based on the same database engine as SQL Server. For e.g., you can connect to the Microsoft SQL Azure Database with the sqlcmd command prompt utility that is included with SQL Server. The sqlcmd utility lets you enter Transact-SQL statements, system procedures, and script files at the command prompt.
To connect to SQL Azure Database by using sqlcmd, append the SQL Azure server name to the login in the connection string by using the <login>@<server> notation. For e.g., if your login is login1 and the fully qualified name of the SQL Azure server is servername.database.windows.net, the username parameter of the connection string is: login1@servername. This restriction places limitations on the text you can choose for the login name.
MSDN has written a tutorial on how to do this. Take a look and get a feel for how easy it is to get started using SQL Azure: