Installing SQL Express:
- Download SQL Express installer
- Switch to an account with full local admin permissions (our regular accounts don't have these so I had to use a global admin account instead) and install SQL Express with that account
- Once installation completes, make a note of the connection string you're given on the final page of the installer
- Open SSMS and connect to the database - default name is localhost\sqlexpress
- Navigate to Security -> Logins -> New Login
- Add the regular (non-admin) domain account that you'll be using most of the time
- Once added, open that account under the Logins section and then open the "Server Roles" page
- Add the account to the "sysadmin" role
Obtaining the Azure database:
- Open the database and select the "Export" option at the top of the "Overview" page
- Choose a storage account and container to drop the export file in and enter the server admin creds
- Once the file has been created, access that storage container and download the db export file
Restoring the export file
- Back in SSMS, connect to your local SQL express server instance again (if it isn't still connected), right-click on the "Databases" node and select "Import Data-tier Application"
- Select the db export file, give the database a name, click "Next"
Don't forget to update connection strings in your applications ;) If they're running under your normal account (i.e. not a separate app pool account etc), it should look something like "Server=localhost\sqlexpress;Database=[your database name];Trusted_Connection=True;"
(This is obviously for local development and testing only; if you set up a real server like this, you're insane)