How to Create Database in Microsoft SQL Azure
Microsoft Azure SQL Database is a relational database-as-a-service that delivers predictable performance, scalability, business continuity, data protection, and near-zero administration to cloud developers and solution architects.
Microsoft Azure offers several choices for data storage. These include Azure storage and SQL Azure. You may choose to use one or both in your particular project. Azure storage currently contains three types of storage structures: tables, queues and blobs.
SQL Azure is a relational data storage service in the cloud. Some of the benefits of this offering are the ability to use a familiar relational development model that includes much of the standard SQL Server language (T-SQL), tools and utilities. Of course, working with well-understood relational structures in the cloud, such as tables, views and stored procedures, also results in increased developer productivity when working in this new platform. Other benefits include a reduced need for physical database-administration tasks to perform server setup, maintenance and security, as well as built-in support for reliability, high availability and scalability.
Here is a video which explains how to create a Database in Azure SQL.