There seems to be a major disconnect here. Your DB is on the server under window.net. *Have you logged on to the SQL Azure Portal like the instructions says? *
Watch this video: http://www.windowsazure.com/en-us/manage/services/sql-databases/
This page: http://www.windowsazure.com/en-us/manage/services/sql-databases/how-to-manage-a-sqldb/ tells you exactly what you need to do (which is exactly what your error message is telling you)
Connecting to SQL Database requires that you know the server name on
Windows Azure. You might need to sign in to the portal to get this
information.
Sign in to the Windows Azure Management Portal.
In the left pane, click on SQL Databases.
On the SQL Databases home page, click SERVERS at the top of the page
to list all of the servers associated with your subscription. Find the
name of the server to which you want to connect and copy it to the
clipboard.
Next, configure your SQL Database firewall to allow connections from
your local machine. You do this by adding your local machines IP
address to the firewall exception list.
On SQL Databases home page, click SERVERS and then click the server to
which you want to connect.
Click Configure at the top of the page.
Copy the IP address in CURRENT CLIENT IP ADDRESS.
In the Configure page, Allowed IP Addresses includes three boxes where
you can specify a rule name and a range of IP addresses as starting
and ending values. For a rule name, you might enter the name of your
computer. For the start and end range, paste in the IP address of your
computer into both boxes, and then click the checkbox that appears.
The rule name must be unique. If this is your development computer,
you can enter the IP address in both the IP range start box and the IP
range end box. Otherwise, you might need to enter a broader range of
IP addresses to accommodate connections from additional computers in
your organization.
Click SAVE at the bottom of the page.
Note: There can be up as much as a five-minute delay for changes to
the firewall settings to take effect.
You are now ready to connect to SQL Database using Management Studio.
On the taskbar, click Start, point to All Programs, point to Microsoft
SQL Server 2012, and then click SQL Server Management Studio.
In Connect to Server, specify the fully-qualified server name as
serverName.database.windows.net. On Windows Azure, the server name is
an autogenerated string composed of alphanumeric characters.
Select SQL Server Authentication.
In the Login box, enter the SQL Server administrator login that you
specified in the portal when creating your server in the format
login@yourServerName.
In the Password box, enter the password that you specified in the
portal when creating your server.
Click Connect to establish the connection.
On Windows Azure, each SQL Database logical server is an abstraction
that defines a grouping of databases. The physical location of each
database might be on any computer in the data center.
In previous versions, you had to connect directly to master when
setting up the connection in Management Studio. This step is no longer
necessary. Connections will now succeed based on the server name,
authentication type, and administrator credentials.
Many of the SSMS wizards you can use for tasks like creating and
modifying logins and databases on a SQL Server database are not
available for SQL databases on Windows Azure, so you'll need to
utilize Transact-SQL statements to accomplish these tasks. The steps
below provide examples of these statements. For more information about
using Transact-SQL with SQL Database, including details about which
commands are supported, see Transact-SQL Reference (SQL Database).