It took longer to think about it, but the result was the same. Here is my current connection strings and the screen is below that.
<!-- Connection String for SQL Server 2005/2008 -->
<add name="SiteSqlServer" connectionString="Server=(local);Database=DNN;uid=DNNUser;pwd=dnnuser;" providerName="System.Data.SqlClient" />
<!-- Connection String for SQL Server 2005/2008 - kept for backwards compatability - legacy modules -->
<add key="SiteSqlServer" value="Server=(local);Database=DNN;uid=DNNUser;pwd=dnnuser;" />
Configure Database Connection
You can configure the database settings used by DotNetNuke on this page. If you are installing DotNetNuke in a "Hosting Account" your hosting provider should have provided you with the information.
There are two options for SQL Server 2005/2008. SQLServer 2005 and SQL Server 2008 support the use of Database Files. In most situations you should choose the Database option, but if you are using SQL Server 2005/2008 Express then you should use the File option.
Connection Error(s):
Index #: 0
Source: .Net SqlClient Data Provider
Class: 20
Number: 2
Message: