SQL Azure Firewall provides users with security in the cloud, by allowing you to specify which computers have permission to access data. TechNet has released an interesting wiki article, describing SQL Azure Firewall and how to configure it using the Windows Azure Management Portal.
"To help protect your data, the SQL Azure firewall prevents all access to your SQL Azure server until you specify which computers have permission. The firewall grants access based on the originating IP address of each request. The SQL Azure firewall can be managed via Windows Azure Platform Management Portal or directly in the master database with the provided stored procedures. Besides having access to SQL Azure's server-side firewall, you must also configure your client side firewall to have outbound ports to access SQL Azure."
The following diagram illustrates the SQL Azure database access:
Take a look at this article, and start optimizing your firewall settings: