I have setup Sever, database and Firewall Setting (Rule) In windows Azure. I Have added The IP In firewall setting which is populating under the Windows Azure Firewall Tab.<
As you may already know, Microsoft changes things all around the place in the Azure Portal, it's good as it shows they care about the UX/UI, however it's a bit annoying for us to do things when we need.
So, currently to edit the firewall rules for a specific SQL database instance, you follow the below steps.
Home > [Your SQL database] > Overview > Set Server firewall
or
Home > All Resources > [Search for Your SQL database] > [Your SQL database] > Overview > Set Server firewall
The image below shows the UI flow.
As Azure keeps changing, so do the ways to get to the firewall.
Click your SQL server (not the database, but the server) -> click firewall -> add the IP range you want to allow.
Dont forget to click save!
with new version of windows azure only go to firewall settings and click on add client IP and you will be okey. see picture bellow