connecting to sql azure from odbc dsn

I'm trying to connect to my Azure database by creating an odbc dsn with the ODBC data source administrator. Every combination of username I try fails. I'm using the latest ODBC Client (SQL Server Native Client 10.0 2007.100.2531.00). I've been able to connect through Management Studio with no problem, so I'm guessing it's not a firewall issue. My password doesn't have any special characters.

First try:
Server:mj4bqw8sft.database.windows.net
Used SQL Server authentication and enter Login ID and Password
Checked "Connect to SQL Server to obtain default...."
Got immediate error:
Connection failed
SQLState: '42000'
SQL Server Error: 40531
Server name cannot be determined. It must appear as the first segment of the server's dns name (servername.database.windows.net). Some libraries do not send the server name, in which case the server name must be included as part of the user name (username@servername).

Second try:
Server:username@mj4bqw8sft.database.windows.net
Used SQL Server authentication and enter Login ID and Password
Checked "Connect to SQL Server to obtain default...."
After a long wait got error:
Connection failed
SQLState: '08001'
SQL Server error:1214
Named Pipes Provider: Could not open a connection to SQL Server
also got Login Timeout Expired

Third try (and most interesting):
Server:tcp:username@mj4bqw8sft.database.windows.net
Used SQL Server authentication and enter Login ID and Password
Checked "Connect to SQL Server to obtain default...."
After a short wait got error:
Connection failed
SQLState: '08001'
SQL Server error: 10061
TCP Provider: No connection could be made because the target machine actively refused it.
also got Login timeout expired

Final try:
Server:tcp:mj4bqw8sft.database.windows.net
Used SQL Server authentication and enter Login ID and Password
Checked "Connect to SQL Server to obtain default...."
result is the same as the first try