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

I've just started learning EF. I want to build new tables in SQL Azure using EF code initially.

This 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 used:

 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>

No table has been generated when I check my SQL Azure DB, however EF still creates the table.MYEF in the SQL Server Express database by default.

Has anyone attempted this and succeeded?