One of the first things you may find yourself wondering about when creating an Azure SQL database is how to have ASPNETDB installed in. If you try to use aspnet_regsql you will be frustrated by the error:

Setup failed. Exception: An error occurred during the execution of the SQL file 'InstallCommon.sql'. The SQL error number is 40508 and the SqlException message is: USE statement is not supported to switch between databases. Use a new connection to connect to a different Database.

which means SQL Azure simply does not support the USE statement, really.

Fortunately, Microsoft has created a hotfix to work around this problem. Download and extract the contents of aspnet_regsqlazure.zip then open a command prompt and navigate to the folder where you extracted the files. Enter the following command to have the job done:

aspnet_regsqlazure -s [your server name].database.windows.net -d [your database name] -u [your user name]@[your server name] -p [your password] -a mr