Connaot connect to Azure SQL Data Warehouse

Hi,

I am trying to connect to an Azure Data Warehouse but I cannot connect in any ways. I can connect fine through SSMS on the same machine, but I always got an error message when I try through PowerBI.

I get the following when I try to connect with Windows authentication, Microsoft Account through PowerBI Desktop or from the PowerBI button in the Azure Portal:

We are unable to establish connection, please check connection information.

When trying with Database login from PowerBI Desktop I got a slightly different message:

Details: "Microsoft SQL: Cannot open server 'eu' requested by the login. Client with IP address 'xxxxxxxxxx' is not allowed to access the server.  To enable access, use the Windows Azure Management Portal or run sp_set_firewall_rule on the master database to create a firewall rule for this IP address or address range.  It may take up to five minutes for this change to take effect."

However my IP address is enabled on and I connect fine to SSMS from the same IP.

Thanks for your help