EXEC master.dbo.sp_addlinkedserver

@server = N'<nick_name_to_use>',

@srvproduct=N'',

@provider=N'sqlncli',

@datasrc=N'<Azure_server_address>',

@catalog=N'<initial_database>' 

EXEC master.dbo.sp_addlinkedsrvlogin

@rmtsrvname=N'<nick_name_to_use>',

@useself=N'False',

@locallogin=NULL,

@rmtuser=N'<user_name>',

@rmtpassword='<password>'