You can not connect using the sa account if you have installed your SQL Serevr using intergrated security. If you are an administrator on that machine, why would you even want to connect using the sa account. Your Windows credentials give you admin access to the SQL Server. They are also much more flexible and a much better choice than using the sa account. Additionally, having the SQL Server installed this way protects you from all of the stupid security problems developers create by embedding the sa account into their applications.
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This was first published in June 2004