You can transfer data to and from MS SQL Azure online databases using Data Loader. To connect, you'll need the server's fully qualified name, an open firewall rule for your IP, and your login credentials.
To connect to an Azure SQL database, you'll need the fully qualified server name, database name, and login information. You can find the server address in your Azure Portal:

If you forget your Azure SQL Database server login information, navigate to the SQL Database server page to view the server admin name.
You also need to add your IP address to the Azure Firewall to connect from your computer. The SQL Database service creates a server-level firewall that blocks external applications unless a rule is created to open it for specific IP addresses.
To add your IP address as an exception:


Once you've added the firewall exception and have your Azure server address, username, and password, connect through Data Loader by entering the Azure server address in the Server text box, choosing the Server Authentication method, and entering your username and password, as shown below.
