Cannot connect to SQL Azure database: The user was not authorized

Power BI desktop is driving me insane.

I am at a Windows host (Azure VM) where the firewall is turned off, and its public IP address is allowed by the SQL Azure database.

As a matter of fact, using SQL Management Studio from the same host to open the SQL Azure database works without any issues.

HOWEVER, trying to connect to the same database from Power BI desktop gives an error saying "The user was not authorized".

EDIT: My bad! I was trying to provide Windows credentials instead of Database credentials! Doh!