Most medium to large companies out there have some sort of high end corporate firewall. We use IAS/NPS (Internet Authentication Service/Network Policy Server), different name depending on which flavor of windows server you are running.
One of the protection schemes IAS/NPS does is the outside IP address reported is false. So from the SQL Azure portal the reported IP address is not going to be the correct one.
To connect to SQL Azure through IAS/NPS do the following:
1. Download/Install SQL Studio Manager 2008 R2 (you do not need to install the database to get this)
2. In IAS/NPS create a rule that allows SQL server connections. If all SQL Azure links are the same, you should be able to use *.database.windows.net.
3. Attempt to connect to SQL Azure though Studio Manger, you will get an error from the SQL Azure firewall saying connection failed due to xxx.xxx.xxx IP address is not authorized to connect.
4. Go to sql.azure.com
5. After you log in click on Firewall Settings
6. Click Add Rule
7. Enter a name and the IP address that you received above
8. After you click submit it will take some time as the note says.
9. After that you should be able to go back into SQL Studio manager and connect.