There is an issue if you attach to the database using SQKL Express Management Tool that make is to DNN cannot access the table.  See my blog at www.dotnetnuke.com/Community/BlogsDotNetNuke/tabid/825/EntryID/1202/Default.aspx  to see how to work around this issue and get it so that both the web site and SQL Management Express can connect to the database.  If you do no want to use Windows Authentication you can simply replace the ASPNet user with the user you want to use and add the id and pwd to the connection string.

IMHO I would use Windows Authentication, since it is more secure since you do not have to store the UserID and PWD in the web.config file.  Plus, it uses the ASPNet account which is already a pretty limited account.

Glad my blog was helpful.  I do not blog much, but when I find things like this that I think the rest of the community needs to know about I take the time to blog about it.  Have fun with DNN.