Connecting to sql azure from ssms throw exception 'sys.configurations'
there can be couple of issues -

Firewall : You will need to add your local IP range to the allowed SQL Azure Firewall rules. Refer to : How to: Configure the Server-Level Firewall Settings (Windows Azure SQL Database)

You are using older/unsupported version of SSMS. If yes, then upgrade to the latest version (e.g SSMS 2008R2 - build 10.50.** Refer : SQL Azure July 2011 Service Release


You might be hitting - Invalid object name ‘sys.configurations’. (Microsoft SQL Server, Error: 208)