If you are playing with the Azure training kit (November update) and you come across the lab about setting up SQL Azure, then you need to notice one thing:

the lab shows you how to connect to the cloud database using SQL Server 2008 R2 and thus you will get the Object Browser support.

However, the object browser is not supported in SQL Server 2008 pre-R2. So if you follow the steps without having R2 you will end up with an error message saying:
“Invalid Object name sys.configurations”.
The reason is that the Management Studio cannot load the Object Browser from SQL Azure simply because it is not supported yet (again for pre-2008 R2 releases).

So the only way to connect to your SQL Azure database is through the “New Query” link in the Management Studio. This will give you full connectivity but without the Object Browser, so you will have to rely on your DDL skills to manage your db objects.