This is the scrip:
-- Make a link to the cloud
EXEC sp_addlinkedserver
@server=N'endepro',
@srvproduct=N'Azure SQL Db',
@provider=N'SQLNCLI',
@datasrc=N'myserver.database.windows.net',
@catalog='mydb';
GO
--Set up login mapping
EXEC sp_addlinkedsrvlogin
@rmtsrvname = 'endepro',
@useself = 'FALSE',
@locallogin=NULL,
@rmtuser = 'Adminstrador@myserver.database.windows.net',
@rmtpassword = '***********'
GO
-- Test the connection
sp_testlinkedserver endepro;
GO