I found the problem!
Initially I was working with SqlConnection from the toolbox (data).Then I decided to try to place my connection in the web.config so I can test the page in my another computer. I created a local strConn and I forgot to remove the previous one (sqlConnection1). The previous connection was pointing to my development computer and it was fine running in my developemt computer but not in my production one, that I was getting this error: SQL Server does not exist ...

String strConn = ConfigurationSettings.AppSettings["ConnectionString"];
SqlConnection sqlConn = new SqlConnection(strConn);	
SqlDataAdapter sqlDataAdapter = new SqlDataAdapter( sql, sqlConnection1 );

instead of using sqlConn I was using sqlConnection1.

Now I can see the page working in my production computer!

But still cannot connect from oSQL using the SA account and also initially I installed MSDE using MSDE200A and for the last installation a used sql2Kdesksp3.exe maybe that has something to do with it?

Thanks,

William