It is amazing that Windows Azure becomes more and more powerful and easy to use. Today I want to list the steps to create a VM in SQL Server in Windows Azure. Because there are some tricky things there and document didn't state it out clear enough.
1. Create a Virtual Machine.
It is extremely easy to create a VM in Azure, everything you need do is fill out a form and you will get a VM in a few minutes
2. Create Endpoint for Sql Server
Azure set a wall between VM and external internet environment, to connect to the Sql Server in VM, a new TCP endpoint need to be created for connection
By Default, the public port is 57500 which is used to connect SQL Server from external environment, say, your home work station.
3. Create a Sql Account
You can use your first created VM account to log into SQL Server with Windows Authentication. But there is could be no way to log into Sql Server from your home with Windows Authentication. (Windows Authentication need Domain controller),
and we need to create a Sql Account and enable Mix Authentication
4. Open Firewall on port 1433
5. Now you can connect to Sql Server in Azure VM
More detail link to configure SQL Server in Azure: