Things are a little different between all the version mixes you can be using. On my system I've got ASP .Net 1.1 and 2.0, DNN 3.2.2 and DNN 4.0.2, SQL Server 2000, SQL Server 2005 and SQL Server 2005 Express all running as named instances. Can you tell I'm doing dom testing. :)
For DNN 3.2.2 Running under ASP .Net 1.1 connecting to SQL 2000 the line in your web.config file should look like
<appSettings>
<add key="SiteSqlServer" value="Server=Eagle;Database=DotNetNuke;uid=username;pwd=passwd;" />
My server is Eagle and SQL server 2000 is running default on port 1435. The database name is DoTNetNuke but could be whatever you want it to be and change the username and password to what you configured in the database when you created it.
DNN Running under ASP .Net 2.0 connecting to SQL 2000
Same as above but you need a new section in the web.config above appsettings;
<connectionStrings>
<add name="SiteSqlServer" connectionString="Server=EAGLE;Database=DotNetNuke;User ID=user;Password=passwd;Trusted_Connection=False" providerName="System.Data.SqlClient" />
Connection strings for SQL Server 2005 and 2005 express are exactly the same but with express you might need to add Trusted_Connection=False to the end.
If you have named instances of SQL running on your server you need to specify them in the server attribute. So for my system if I want to use SQL2005 instead of 2000 I specify Eagle\SQL2005 and if I want to use SQL 2005 Express I change it to Eagle\SQLEXPRESS. Works everytime for all of the different things I've got installed.
Don't depend on the 4.0.2 install to create the database and user for you with SQL Express. Create it yourself and then add the user to the instance and database.
A great place to go fine connection strings to different types of databases and different formats for them is
www.connectionstrings.com
Cheers,