In an Azure web site, in the portal under the dashboard on the RHS, you'll see a whole link of links e.g. the link to the site, ftp links, log links etc.
To access these, you need credentials which you can set further up that page on the RHS i.e. "Reset your deployment credentials".
So you pick a name like "myftpusername" and a password.
Then you use something like FileZilla to FTP to the site using the FTP link, you type in the credentials and get "Access Denied"! WTF?
The reason is that you have to add the actual site to the user name. So if the site name is "AnAzureWebSite", then the user name needs to be: