If you want to use the ASP.NET Providers (membership, role, personalization, profile, web event provider) with SQL Azure, you'll need to use the the following scripts or aspnet-regAzure.exe tool to setup the database: http://support.microsoft.com/default.aspx/kb/2006191
Currently the only provider which is not supported on SQL Azure is the session state provider.
Personally, I like using SSMS 2008 R2 to connect to SQL Azure and using the Query window to run the scripts. (if you already have SSMS 2008 installed, you can use that as well, just connect from the Query window itself, not the Object Explorer as that will fail)
Note: I use SQL Server Authentication with the following credentials:
- Server name: <servername>.database.windows.net
- Login: <username>@<servername>)