Connecting to an SQL Azure Database from SSMS - IP Restriction
You don't want to connect to Windows Azure SQL Database by using an IP address, you will want to use the logical servername you are assigned (something like fooxxxbar.database.windows.net).

Also, WASD only uses port 1433, you can't configure that (not today, anyway). 

The firewall rules for WASD are for the client connections. When you first create your SQL database you will be prompted to create firewall rules and your current IP address will be listed as an example of an IP to allow. 

HTH