The Hybrid Connection Manager enables your on-premises machine to connect to Azure and relay TCP traffic. You must install the manager to an on-premises computer that can connect to the your SQL Server instance.
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The connection you just created should have a Status of On-premesis setup incomplete. Click this connection and click On-premises Setup.
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Click Install and Configure.
This installs a customized instance of the Connection Manager, which is already pre-configured to work with the hybrid connection you just created.
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Complete the rest of the setup steps for the Connection Manager.
After the installation is complete, the hybrid connection status will change to 1 Instance Connected. You may need to refresh the browser and wait a few minutes.
The hybrid connection setup is now complete.