When configured my website on windows azure, I chose Est of USA for the Web site, and North Europe for database.
As you can guess, the performances are very bad, mos
You need to redeploy your website code to a new Web Site, located in Europe. If you're using git, this should be as simple as setting up a new remote location to the new Web Site and re-doing a push.
In the future: Always deploy website + database in the same datacenter. This avoids performance latency as well as data egress costs out of the data center.