Really, that's not what I found :/ I had the connection working, the db was set up by running the Web Site Administration Tool but the login details pages themselves wouldn't connection to the SQL Server instance.. I put it down to the fact I was using forms authentication and for that you needed "User Instance=true" in the connection string, something that is only supported by 2005 Express. When you ran the pages, you couldn't log in..
One of our dba guys here looked into it too, he was stumped but maybe we were missing something obvious - got a link to further info?