If you wish to connect tools other that your own database to your Access Web App residing in Azure Office 365 Sharepoint.com, read this page
I would suggest that you purchase Professional Access 2013 Programming and read chapter 11. The detail on sharepoint permissions, offsite reading/writing to databases is very detailed.
Now lets layout the basic steps to connect to the Azure/SQL Server database or you will get a firewall warning 40615 as in this picture
Connecting To The Database
In the File Menu there is Connections, choose Manage and make sure that Connect from any location is selected
Now click on View Readonly Connection information and set it up as I have done in these pictures