Standard using SQLNCLI10 OLEDB
This SQL Server Native Client 10.0 OLE DB Provider connection string can be used for connections to Azure SQL Database.
Microsoft does not announce support for OLE DB connections to Azure and there are limitations. Some required OLE DB schema rowsets are not available from an Azure connection, and some properties that identify features in SQL Server are not adjusted to represent SQL Azure limitations. For most common connect/query/update tasks it seems to work fine.
Initial Catalog=databasename;Data Source=tcp:[servername].database.windows.net;