When building your SharePoint farm if you want to quickly test your connection to the SQL Server, you can simply:
- In My computer, in the ribbon click the button to show file extensions
- Go to the desktop and create a plain text file, then rename it to Test.RDL for example
- Double click on the file and you get a connection window, enter the SQL Server details and authentication information
- Click Test Connection and Viola!
This is a quick way to test that your connection to SQL is working properly.