<add name="SiteSqlServer"
connectionString="Data Source=amjecacer_win7\SQL;
Initial Catalog=DotNetNuke;
Integrated Security=True"
providerName="System.Data.SqlClient" />

which is a valid connection string for my database.

When I get to the database connection page of the wizard (3rd page in), I select:

- SQL Server 2005/2008 database
- the name of the server (amjecacer_win7\SQL)
- the name of the Database (DotNetNuke) - I have already created thisdatabase and I can login to this database
- Select Integrated Security
- leave the qualifier as blank

When I click next, I get the error message:

Connection Error(s):
Index #: 0
Source: .Net SqlClient Data Provider
Class: 11
Number: 4060
Message: Invalid Database
Index #: 1
Source: .Net SqlClient Data Provider
Class: 14
Number: 18456
Message: Sql login failed


Any idea why this is? I can login to the database using the SSMS and Integrated Security

 thanks that really solved my problem also ,

just an explanation how to do it in the sql manager 2008:

1- in SQL server manager , navigate to  the security under the sqlserver "not the security of the Database you are using " as this is one of the mistake i was doing ...

2 - and then in the security -->logins add : NT AUTHORITY \ NETWORK SERVICE (you can use search and then advanced search to find it)

3- and now back to yourdatabase --> security --> users : add a new user with NT AUTHORITY \ NETWORK SERVICE as a log in name (also you can find in the seach ) 

4- then go to yourdatabase --> security --> roles --> data base roles --> db_owner and add that user as a db_owner