Lets say you have a SQL Azure Server with the following parameters
SQL Azure Instance : azureinstance1
Database name within Instance : TouristDB1
Your User Name is : tom
Password is : Edinburgh
The SQLAzure connection string would be
MSSQL:Server=tcp:azureinstance1.database.windows.net;Database=TouristDB1;
Uid=tom@azureinstance1.database.windows.net;Pwd=Edinburgh;
and the full OGR2OGR to import Command Line Instruction for a shape file called Monuments.shp would be..
ogr2ogr -overwrite -f MSSQLSpatial "MSSQL:Server=tcp:azureinstance1.database.windows.net;Database=TouristDB1; Uid=tom@azureinstance1.database.windows.net;Pwd=Edinburgh;" "C:\Monuments.shp"