MSDN has written a tutorial on how to connect to SQL Azure using ADO.net. The article provides a quick walkthrough and offers some considerations in connecting to a SQL Azure Database using ADO.net.
Using ADO.NET to connect to a database in Microsoft SQL Azure Database is very similar to connecting to an instance of SQL Server on your premises. This topic describes a few considerations for connecting to SQL Azure Database and provides an example console application that you can use to get started.
For more general information about connecting to a data source with ADO.NET, see Connecting to a Data Source (ADO.NET).
Take a few minutes to read through it, and then give it a try: