As I previously blogged - http://slodge.blogspot.com/2010/09/sql-azure-management-backup-and.html
you can backup SQL Azure usingCREATE DATABASE [newName] *BUG HERE* COPY OF [oldName]
However, recently I've just hit lots of problems with doing this on "The CREATE DATABASE statement must be the only statement in the batch."
Sadly I don't seem to be able to get past this... I think it's something to do with names? Certainly it's an odd (and probably misleading) message... Anyways... I'll use the other backup method instead...
The problem was my typo...
The statement is not:
CREATE DATABASE [newName] COPY OF [oldName]
Instead it is:
CREATE DATABASE [newName] AS COPY OF [oldName]
Doh! (although top marks to SQL Azure for the error message)