It is very simple to backup your Azure SQL Databases using SQLBackupAndFTP.
Run SQLBackupAndFTP with Azure. Click at "Connect to SQL Server / Azure" button on the main window. Specify you Azure SQL Server Name, user name and password for connection.
It may not be immediately clear what is your Server Name (connection string) for Azure SQL databases. Here the instructions on how to find it out.
Login to Windows Azure Management. Select "SQL DATABASES" on the left panel, click at any of your databases and click "Show connection string" link.
You will see connection strings for a number of platforms. Under ADO.NET select the connection string like in the example to your right. Copy/Paste it to "Server Name" field in SQLBackupAndFTP.
For SQLBackupAndFTP to connect to Azure SQL Database you need to configure Azure's firewall. Otherwise you will be getting the error: Cannot open [server] requested by the login. Client with IP address [ip-address] is not allowed to access to the server...
Login to Windows Azure Management, select "SQL DATABASES" item on the left panel, click at any of your databases and find "Manage allowed IP addresses" link on the page. Click it.
On this page you need to configure your firewall to allow the machine where SQLBackupAndFTP is running access to Azure. After adding the proper IP you should have no problem connecting to Azure.
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