CRM SDK Simplified Connection to cloudapp (Azure) CRM with Active Directory

Hey guys, I'm a newbie so I ask for forgiveness beforehand in case the question I'm asking is dull.

I am developing some ASP.Net web pages that need to access CRM data in an OnPremise scenario. In able to test the connections, I installed a Dynamics CRM 2011 in Azure using AD authentication.

In my VB.Net web.config, I have used the same connection string as described in the CRM SDK for the simplified connection for the onpremise with provided user credentials:

<!-- On-premises with provided user credentials -->

<add name="Server=myserver, organization=AdventureWorksCycle, user=administrator" connectionString="Url=http://myserver/AdventureWorksCycle; Domain=mydomain; Username=administrator; Password=password;"/>

Credentials are OK as I am able to connect to the Azure CRM with the same credentials. However when I try to connect from the portal, I get a "Access is denied" message when trying to retrieve an entity.

Is the connection string I am using the adequate one for this scenario? Any other suggestion will be greatly appreciated.

Thanks for your help!!!!!

Ariel