It means you are trying to access the SQL Server over a network connection. By default, for security, the SQL Server 2005 only permits local connections (Previously TCP/IP was also turned on). If your SQL Server is installed on the same machine as your application is running then change the Data Source value in the connection string to (local), with the brackets, instead of the machine name, an IP address or localhost. If your SQL Server is running on a different machine to your application then allow it to accept incoming network connections (Open the SQL Server Configuration Manager). Find "Client Protocols", and in the right side Enable "TCP/IP". If you take this option you may wish to check the properties of the TCP/IP connection and ensure the port is locked down on your internet connection's firewall.
Scottish Developers upcoming sessions include: .NET debugging, tracing and instrumentation by Duncan Edwards Jones and Code Coverage in .NET by Craig Murphy My: Website | Blog -- modified at 17:16 Sunday 11th June, 2006