Create a db sql azure with collation set to SQL_Latin1_General_CP1_CS_AS.
The SQL Azure database creation steps are already well described, crucial detail: use the following collation: SQL_Latin1_General_CP1_CS_AS. (and use a blank template)
Keep the database access settings (FQDN of the server, username, password, the database name) somewhere, we will need those later.
Don't forget to open the firewall of the SQL Server for connections from Azure.