1. Open Excel 2010 and the find the ‘PowerPivot’ tab and click on ‘PowerPivot Window’

if you do not have PowerPivot (free excel 2010 add on) installed, you can download it from here: www.powerpivot.com/download.aspx

To know more about PowerPivot, go to http://www.powerpivot.com

2.  Now select ‘from database’ –> ‘from SQL server’

3. you will see a Table import Wizard

4. Let’s go to the ‘advanced’ option first:

Note that we are using ‘SQL server native client 10.0’ to connect to SQL Azure.

Also if face any connection timeout issues just set value of  ‘connection timeout’ to some appropriate value. by default it is set to 0.

5. Now Let’s go back to the Table import wizard to enter credential:

Note that while entering the username for the SQL Azure server, maintain the format username@servername else you’ll get following error

Let’s enter the credential correctly and test connection:

6. Press Next, and select appropriate option. I chose to select from a list of tables that will be provided in the after I press next.

7. You will be presented with the list of tables/views. check the boxes for which you wish to import data. 

After selecting the tables/views to be imported, click on Finish

8. The progress of the data import will be shown:

Click on close.

9. Voila! the data has been imported for your further use!

Just a note you can navigate between selected tables/views from the bottom of the window.

Hope that was helpful!