UPDATE, dated 14th March 2015
The link below has a list of things to check to resolve connectivity issues. Worth taking a look if you are stuck with an SQL Server that you cannot access remotely.
UPDATE, dated 3rd February 2015
One of our clients uses SQL Server 2005 and so to test the scenario we set up an Azure VM with SQL Server 2005 Express. Even though we followed the steps mentioned in the link below, we could not access the SQL Server remotely. Eventually on opening the “SQL Server 2005 Surface Area Configuration Tool”, I discovered that SQL Server 2005 Express edition does not allow remote connections.
Not sure if this is true of all versions of SQL Server but if you want to remotely connect to the server, I would stay away from the Express editions.
Also, if you are using SQL Server 2005, check out this link in addition to the one below, for instructions on what must be done to enable remote connections to the SQL Server.
If you’re trying to set up an SQL Server instance in the Azure cloud, you will want to check out this link.
It lists the steps you need to take in addition to setting up a VM with SQL Server on it.
PS: By “Setting up an SQL Server instance in the Azure cloud”, I mean a VM where you can run your own SQL Server, as opposed to a “Platform as a Service”, Azure SQL Server (which has some inherent limitations).