For a sample that shows how to connect to a Azure SQL Database using SQL Server Native Client, see Development: How-to Topics (Windows Azure SQL Database).
Known Issues When Connecting to a SQL Database
The following are known issues when connecting to a SQL Database using SQL Server Native Client:
A connection made with SQLBrowseConnect may be rejected if SQLBrowseConnect is used in stages. For example, if the driver name is sent in the first call, server and credentials (user and password) sent in the second call, establishing the connection, and a database name and a language in the third call. The third call will cause SQL Server Native Client to issue a USE statement to change databases. However, the USE statement is not supported in SQL Database, generating the following error:
[Microsoft][SQL Server Native Client 11.0][SQL Server]USE statement is not supported to switch between databases. Use a new connection to connect to a different Database.