The procedure that @Ronen Ariely described above is related to SQL Pools (aka SQL DW).
Here is the procedure for SQL on-demand.
Step 1: Find the session which you want to kill using query bellow.
SELECT
'Running' as [Status],
Transaction_id as [Request ID],
'SQL On-demand' as [SQL Resource],
s.login_name as [Submitter],
s.Session_Id as [Session ID],
req.start_time as [Submit time],
req.command as [Request Type],
SUBSTRING(
sqltext.text,
(req.statement_start_offset/2)+1,
(
(
CASE req.statement_end_offset
WHEN -1 THEN DATALENGTH(sqltext.text)
ELSE req.statement_end_offset
END - req.statement_start_offset
)/2
) + 1
) as [Query Text],
req.total_elapsed_time as [Duration]
FROM
sys.dm_exec_requests req
CROSS APPLY sys.dm_exec_sql_text(sql_handle) sqltext
JOIN sys.dm_exec_sessions s ON req.session_id = s.session_id
Step 2: Use the value in the Session ID column to kill the process which you want to. For example if the Session ID is 81 then execute the following command
kill 81