I have a basic ASP.NET MVC 4 site which I am hosting on Azure websites. The authentication is forms authentication and has not been customised from the default template. Eve
Here's a tutorial that you could follow to setup a SQL database when deploying your application on Windows Azure. You must setup the correct connection string in your web.config which by default is pointing to a local SQL Express database when you create a new ASP.NET MVC 4 application using the Internet template.
Your SQL Azure connection string will look something like this: