SQL Management Studio connects, but can't perform a select against Azure database?

SQL Management Studio connects, but can't perform a select against Azure
database?

I've successfully connected to an Azure hosted SQL database in SQL
Management studio, but I can't perform any queries that I can perform in
web matrix.
The following query works just fine in web matrix:
SELECT *
FROM [junglegymSQL].dbo.Action AS a
But when I try to execute it in SQL Management Studio I receive the
following error:
Msg 40515, Level 15, State 1, Line 16 Reference to database and/or server
name in 'junglegymSQL.dbo.Action' is not supported in this version of SQL
Server.