Windows Azure Client with IP address 'XXX.XXX.XXX.XX' is not allowed to access the server

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Windows Azure Client with IP address 'XXX.XXX.XXX.XX' is not allowed to access the server

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If you want to manage SQL Azure from the Azure Portal you have to check the "Allow other Windows Azure Services to connect to this server". That is also required later for your Web/Worker roles deployed to Azure:

If you want to connect from your home/work PC, you have to keep the firewall up-to-date with your public IP address! Your public IP Address is in the little popup windows, which pops out when you want to add new firewall rule: