If it is SQL2000, copy the database into D:\SQL Server 2000\Data Files\MSSQL\Data (SQL SERVER's address) under the use of Enterprise Manager to attach the database, and then use VS2005 to open the site, use Service Explorer to create a connection, right-click on the data connection - Add Connection - Data Source ( Microsoft SQL Server database file (SqlClient)) - database file name (note that here is the database in the site source file, not in SQL) - use Windows authentication - test the connection - the connection is successful - OK.
In to the configuration file to the password into a space (the default is empty, unless you should be), such as: server=. ;uid=sa;pwd=;database=database name
If it's an ACCESS database, then just run it directly and it's OK!