Hi @EnterpriseArchitect ,
you have to link Azure SQL with Azure AD to get this done.
Maybe these links are helpful:
https://learn.microsoft.com/en-us/azure/azure-sql/database/authentication-mfa-ssms-overview
https://learn.microsoft.com/en-us/azure/azure-sql/database/authentication-mfa-ssms-configure
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Regards
Andreas Baumgarten