My guess is your site is running off a SQLExpress database in the app_data folder, and not the connection string to your SQL 2k or 2k5 database that you setup. Your web.config most likely has the 2k/2k5 strings commented out.

Probably a better question would be, how do I now get the database back to the correct MS SQL location and database that I created.

I have checked my web.config settings and there is nothing commented out, as below.

  <connectionStrings>
    <!-- Connection String for SQL Server 2005 Express -->
    <add name="SiteSqlServer" connectionString="Data Source=MyServer\DotNetNuke;Integrated Security=True;User ID=DotNetNuke;Password=DotNetNuke;User Instance=True" providerName="System.Data.SqlClient" />
    <!-- Connection String for SQL Server 2000/2005
    <add
      name="SiteSqlServer"
      connectionString="Server=MyServer\DotNetNuke;Database=DotNetNuke;uid=DotNetNuke;pwd=DotNetNuke;"
      providerName="System.Data.SqlClient" />
   -->
  </connectionStrings>
  <appSettings>
    <!-- Connection String for SQL Server 2005 Express - kept for backwards compatability - legacy modules   -->
    <add key="SiteSqlServer" value="Data Source=MyServer\DotNetNuke;Integrated Security=True;User ID=DotNetNuke;Password=DotNetNuke;User Instance=True" />
    <!-- Connection String for SQL Server 2000/2005 - kept for backwards compatability - legacy modules
    <add key="SiteSqlServer" value="Server=MyServer\DotNetNuke;Database=DotNetNuke;uid=DotNetNuke;pwd=DotNetNuke;"/>
    -->