Cannot get Linked Servers to work in Sql Azure

EXEC sp_addlinkedserver
@server='PROD',
@srvproduct='',     
@provider='sqlncli',
@datasrc='azureserver.database.windows.net',
@location='',
@provstr='',
@catalog='database name'


EXEC sp_addlinkedsrvlogin 
@rmtsrvname = 'PROD',
@useself = 'false',
@rmtuser = 'Azure login',
@rmtpassword = 'password'

EXEC sp_serveroption 'PROD', 'rpc out', true