How to make Entity Framework Code First use the SQL Azure DB?

I'm start to learn EF now. What I want to do is use EF code first create new tables in SQL Azure.

Here is my code:

namespace WebApplication2
{
   public class Blog
   {
       public int UserName { get; set; }
       public int ID { get; set; }
   }

   public class BlogContext : DbContext
   {
       public DbSet<Blog> Blogs { get; set; }

       public BlogContext() : base("MYEF")
       {
       }
   }
}

Code behind:

 protected void Page_Load(object sender, EventArgs e)
 {
        using (var db = new BlogContext())
        {
            var blog = new Blog { UserName = 456 };
            db.Blogs.Add(blog);
            db.SaveChanges();
        }
    }

Web.config:

<connectionStrings>
    <add name="TestDBContext" 
         connectionString="Server=tcp:mydb.database.windows.net,1433;Database=MYEF;User ID=[Username];Password=[MyPassword];Trusted_Connection=False;Encrypt=True;PersistSecurityInfo=True" 
         providerName="System.Data.SqlClient" />
</connectionStrings>

When I check my SQL Azure DB, no table has been created, EF still create the table MYEF in the default SQL Server Express database.

Has anyone done this successfully?