Can't query between databases in SQL Azure
Update:
As per Illuminati's comment and answer, the situation has changed since this answer was originally accepted and there is now support for cross database queries as per https://azure.microsoft.com/en-us/blog/querying-remote-databases-in-azure-sql-db/
Original Answer (2013):Cross database queries aren't supported in SQL Azure. Which means you need to either combine the databases to prevent the need in the first place, or query both databases independently and basically join the data in your application.
Cross database queries are now supported in SQL Azure
https://azure.microsoft.com/en-us/blog/querying-remote-databases-in-azure-sql-db/
Azure SQL DB is previewing Elastic Database Query feature at this point in time that will help you query among Azure SQL DBs with some limitations. You can get detailed information about the feature here.