I am seeing a ton of searches on this blog or reaching this blog from MSN/Google with this search “Login failed for user 'sa'. Reason: Not associated with a trusted SQL Server connection.” So this is what causes the problem: your SQL Server has been setup with windows authentication only. In order to make it mixed mode authentication right click on the server name in enterprise manager select properties and click on the security tab. Select SQL server and Windows (see picture…) and that will fix it
I will monitor the searches and write more stuff about things that people are searching for.
For the SQL server 2005 version go here