As far as querying syntax is concerned in Azure Storage Explorer, you would need to specify your query like this:
(PartitionKey gt 'EntityType-Date' and PartitionKey lt EntityType-HighDate') and (RowKey eq 'EntityId')
Please see this link for more details: http://msdn.microsoft.com/en-us/library/windowsazure/dd894031.aspx.
For deciding on PartitionKey/RowKey for efficient querying, I would strongly recommend reading up this blog from Storage team: http://blogs.msdn.com/b/windowsazurestorage/archive/2010/11/06/how-to-get-most-out-of-windows-azure-tables.aspx.