To access your data stored on an Azure SQL database, you will need to know the server and database name that you want to connect to, and you must have access credentials. Once you have created a connection to an Azure SQL database, you can select data from the available tables and then load that data into your app or document. The Azure SQL Database Connector does not support NTLM authentication. For that reason, the Windows integrated security option is not available.
For more information, please see Create an Azure SQL database connection (Help.com).