Great Article in how to setup Linked Servers on SQL Azure
Connecting directly to a SQL Azure database from a reporting tool (like Microsoft Excel and PowerPivot, or SQL Server Reporting Services) from your desktop or local data center is possible using a data source that looks like:
This is useful if you have a single database on SQL Azure that you need to query. What if you have reached the 50GB limit that is currently the top size of a SQL Azure database? The solution is to split your database into many databases containing the same schema. See this paper on database sharding with SQL Azure.
Expecting the users to always define multiple data sources to connect to multiple databases is cumbersome and may not perform well. For example, a PowerPivot user would have to open a separate link to every SQL Azure database individually. This paper describes a solution using a local SQL Server that can ease the access to all these databases and will usually give better performance. The solution is called Partitioned Views and is implemented using Linked Servers. Since customers don’t usually like to expose their databases to the internet, we are proposing a separate server that contains no actual data and only contains the views necessary for applications to get an internet link to SQL Azure databases. This is not the only solution because you can implement stored procedures using OPENROWSET or OPENQUERY for solutions that need more logic.
A read-only solution is the easiest to implement. If modifications must be made to the SQL Azure tables via the Distributed Partitioned Views, you must read the restrictions in SQL Server Books Online. It also helps to read about how to implement a partitioned view. Using the check constraints on the tables as shown in the examples in this link is essential if you want the optimizer to only touch the right tables when you use the constrained columns in a WHERE clause in your queries.