Arun Sirpal shows how to set up Azure SQL Database to use Azure Active Directory accounts:
I think it is important to highlight a couple of points, more specifically around the requirement of ADALSQL.DLL and proper setup of AD which I will highlight below and reference some links, please do this as it lays the foundation for you.
ADALSQL.DLL
You need ADALSQL.DLL which is part of the latest SQL Server Management Studio (SSMS) to test access. This stands for Active Directory Authentication Library for SQL Server.
This goes through some of the issues Arun had setting everything up and provides workarounds and explanations.