By default, MSDE installation sets the login authentication mode to Windows authentication mode. It can be changed to SQL authentication as shown in mskb #Q285097 INF: How to Change the Default Login Authentication Mode to SQL While Installing SQL Server 2000 Desktop Engine by Using Windows Installer.

>When trying to add a DSN to connect to MSDE I get the next error message:
>
>Connection error
>SQLState: ‘28000’
>SQL Server E
>Error: 18452
>[Microsoft][ODBC SQL Server Driver][SQL Server]Login failed for user ‘sa’. Reason: Not associated with a trusted SQL Server connection.
>
>I have no idea of what could be happening. The MSDE is clean and recently installed.
>
>
>Thanks in advance for any hints.
>
>Oscar Corte