Azure VMs and connectivity brings some interesting challenges to the fore. I have a scenario where I created 4 new VMs (3 x app and 1 x sql). The App servers are bare bone so did not have any SQL client tools. I found the method below the easiest way to test connectivity to the SQL Server:

• On the app server create a new text file and change the extension to .UDL
• Double click and it will open a SQL Connection window
• Enter your details and test