Please make sure are trying to get connected correctly. Try something like below:
try {
String SQL = "select * from dbo.Student";
Class.forName("net.sourceforge.jtds.jdbc.Driver");
String url = String.format("jdbc:jtds:sqlserver://***.database.windows.net:1433/<your database name>;user=***;password=***;encrypt=true;trustServerCertificate=false;hostNameInCertificate=*.database.windows.net;loginTimeout=30;");
conn = DriverManager.getConnection(url);
stmt = conn.createStatement();
rs = stmt.executeQuery(SQL);
while (rs.next()) {
System.out.println(rs.getString("name"));
}
close();
} catch (Exception e) {
e.printStackTrace();
}
I hope this YouTube video helps you go through all the steps.