I am going to change the primary key on SQL Azure. But it throws an error when using Microsoft SQL Server Management Studio to generate the scripts. Because every tables on SQL
I ran into this exact problem and contacted the Azure team on the forums. Basically it isn't possible. You'll need to create a new table and transfer the data to it.
What I did was create a transaction and within it do the following:
Renamed the old table to OLD_MyTable.
Create the new table with the correct Primary Key and call it MyTable.
Select the contents from OLD_MyTable into MyTable.
Drop OLD_MyTable.
You may also need to call sp_rename on any constraints so they don't conflict.
See also: http://social.msdn.microsoft.com/Forums/en/ssdsgetstarted/thread/5cc4b302-fa42-4c62-956a-bbf79dbbd040