This "Not associated with a trusted SQL Server connection" error message generally means that you have set-up your db server to only accept Windows logins. Either change that to allow SQL logins too ("Mixed mode"), or change your connection string to use windows authentication (you'll have to make sure your anonymous user has permissions to the db). There are plenty of conn string examples here:
http://www.able-consulting.com/ADO_Conn.htm
Generally its not a very good idea from a security point of view to connect a web page as "sa" (especially when there is no password on your sa account).
hth
Phil