The scenario you desire requires you to have a MS SQL Server Instance running on a server that is accessible from wherever your application is running and allows remote connections. This can be done with MS SQL Server Express or MS SQL Server 2008 but requires considerably more configuration and if you require the full version of SQL Server, licensing comes into the picture also.
In a basic situation where you already have MS SQL Server running, you could stop your website, copy or move the db files to the MSSQL Data folder and then go to MS SQL Server Management Studio and use the Attach Database feature to point to the newly copied/moved files.
Once you have the database running you will need to add a user to the MS SQL Server instance and map the user to the database.
You will then need to change your DNN web.config Connection Strings both in <connectionStrings> and <appSettings> sections to use the new server. Usually looks something like this:
<!-- Connection String for SQL Server 2005/2008 Express -->
<add name="SiteSqlServer" connectionString="Data Source=[SERVERNAME\DBINSTANCENAME];Initial Catalog=[DATABASENAME];User ID=[USERNAME];Password=[PASSWORD]" providerName="System.Data.SqlClient" />
AND...
<add key="SiteSqlServer" value="Data Source=[SERVERNAME\DBINSTANCENAME];Initial Catalog=[DATABASENAME];User ID=[USERNAME];Password=[PASSWORD]" />
Hope this helps.
Josh