An Azure relational database service.
Copilot seems to be mixing things up. The Query Editor is only available if you are on the blade for an individual database, and then you can only connect to that database; there is no database dropdown.
As long as you are on Windows, the easiest way to connect is to use SQL Server Management Studio (SSMS).If you are on a different platform, you can use Visual Studio Code with some mssql extension. I don't use VS Code myself, so I am foggy on the details.
Then again, you can use the Query Editor, as you can add a user directly to the database. For a user that can create tables and that, you would run like in this example:
CREATE USER kalleanka WITH PASSWORD = 'Ankeborg forever!'
CREATE ROLE my_ddladdmin
DENY ALTER ANY DATABASE DDL TRIGGER TO my_ddladmin
ALTER ROLE db_ddladmin ADD MEMBER my_ddladmin
ALTER ROLE my_ddladmin ADD MEMBER kalleanka
Here kalleanka is just a token username. The ballet with my_ddladmin is something you would only do once per database. This step is required, because the built-in role db_ddladmin incorrectly, in my opinion, gives the right to fiddle with DDL triggers, so we need a role that can do all DDL, except for DDL triggers. (I realise that this may be a little advanced for where you are now. But when it comes to security, it's better to start doing it right from the beginning.)