I'm not understanding the concept of login/user on Azure So as a SQL Server DBA, I can normally create a user, then inside the database U just create a login pointing to that login and then I give the necessary privileges. 

I'm trying to understand the concept of logins and users on Azure. Official documentation has some confusing concepts about then and I think I just need to understand the basics to go on.

So, To create a user for a database, do I need to have a Login as we have in a SQL Server instance? I can only find information about AD users.

The original problem I'm having here is that, there's a user inside the database and I just can't change it's Password ( Dev people lost the pass ). 

When I use (Inside the database I want to change its passowrd):

ALTER LOGIN TheUser WITH PASSWORD = 'SomePassword'


SQL Server Management Studio says:


  Msg 5001, Level 16, State 3, Line 139 User must be in the master
  database.


But there's no user in the master database. how was this user created here without beign created first on master? Do I need a user inside master and then transfer it to the database I want it to access?

This is not helping me

EDIT:

So I could connect with a different login ( for some reason im not sysadmin I guess) and I could change the user  password with the command above, but I still would like som esimple explanation about how logins and users works on azure.
Simple explanation :

A login is an access to a server. It does not necessarily mean access to a database.

When you create a user from a login in a database and grant access (explicit or using a role), the login is able to access a given database/s.

What you are doing is incorrect since you are inside a database and then trying to change the password for a login.

YOu should be in master database to change a login's password - provided you have rights to do it.