The characters <!-- and ending with --> are comment tags. What they have done is to list both complete keys for SQL and SQL Express, but they have commented out the entire section. You are responsible for un-commenting the correct string, or just deleting everything except what you need. In the end, your section will look something like the following (changing the name for Database.mdf if you named the database something different, like DotNetNuke.mdf), etc. The following has word wrapped, but I usually put each key on one line.

<connectionStrings>

<add name="SiteSqlServer"
    connectionString="Data Source=.\SQLExpress;Integrated Security=True;User Instance=True;AttachDBFilename=|DataDirectory|Database.mdf;"
    providerName="System.Data.SqlClient" />

</connectionStrings>