Azure VPN is not getting connected with SonicWALL VPN

I have done below steps to establish a connection between Azure VPN and SonicWALL VPN using Site-to-Site connectivity:
1. created a Azure Local network
2. Created Azure Virtual network3.
3. Created Static Routing Gateway
4. Configured SonicWALL for the VPN connection to the Windows Azure gateway.

But still its not connected. it shows connecting status.

I followed below link:
http://jespermchristensen.wordpress.com/2012/07/02/creating-a-windows-azure-virtual-network-with-site-to-site-vpn-to-sonicwall/

Its a very urgent... Client wants this connectivity

hema