If you get the following error when connecting to SQL Server 2005 (including SQL Express):
An error has occurred while establishing a connection to the server. When connecting to SQL Server 2005, this failure may be caused by the fact that under the default settings SQL Server does not allow remote connections.
Then check out this MSDN article that describes how to use the SQL Server Surface Area Configuration Tool to allow remote connections:
http://support.microsoft.com/default.aspx?scid=kb%3bEN-US%3b914277