In the Try It Out on page 612, I get this error message on step four:

An error has occurred while establishing a connection to the server. When connecting to SQL Server 2005, this failure may be caused by the fact that under the default settings SQL Server does not allow remote connections. (provider: Names Pipes Provider, error: 40 - Could not open a connection to SQL Server)

What should I do?

NOW, I see that this question was asked below.