A couple of days ago, I got my SQL Azure invitation in the mail.
After logging on to https://sql.azure.com and entering the invitation Code, I was directed to the Projects screen:

The project listed was already created. There appears to be no way to add or delete projects (for now, I guess?). Anyway, clicking on the Manage link of the SDS-only CTP Project, I got to this screen:

Clicking the Connection Strings button, you get a simple list of ADO.NET, ODBC, and OLE DB connection Strings, which you can copy to the clipboard and use in your code.
First of all, let’s create a new database:

And sure enough:

OK, so now let’s try to connect to this database, create a table, and insert some data. I’m going to use good old SQLCMD to show you the connection syntax. You can use SQL Management Studio too, but that requires you to skip the connect screen.
The Username (-U) is composed as “username@servername”, where servername is the short server name that is shown in the Server Administration screen above. For the database server name you have to of course use the FQDN of the server. That can be found in the connection strings and looks something like servername.ctp.database.windows.net.

OK, so that works (or what did you expect).
I’m going to play with it some more now. Expect more news later!