The following screen will pop up, asking you to create a data connection. Click on the Add button to add a new connection. As shown in the following screenshot, select SQL Database as the connection type and then click on the next item to start configuring the database settings:

If you don't have a SQL database hosted on Azure, you need to create one. If you don't have a database server, you need to create one of these too. Finally, you need to generate the connection string.