On Windows 2008 R2 server with SQLExpress 2008 R2 creating a dotnetnuke website I was receiving the following error:
Index #: 0
Source: .Net SqlClient Data Provider
Message: Failed to generate a user instance of SQL Server. Only an integrated connection can generate a user instance. The connection will be closed.
To overcome this I first manually created a database in Microsoft SQL Server Management studio MYSERVER\SQLExpress with the dotnetnuke database name-