We have done a program to select data and create a text file, it works correctly in our test server.. but the problem is in the production server, We do no have the admin password. We can access the data running a query connecting thru windows authentication, but we want to use the program because it do only that task. If we go directly to the DB it could cause others problems

How can I access the sql DB using Windows authentication via vb 2005 program?

There are couple of ways to do that.

You can use System.Data.Odbc.OdbcConnection with ConnectionString as
"DSN=<odbc DSN Name>"

or use System.Data.SqlConnection with ConnectionString as

"Persist Security Info=true;Integrated Security=SSPI;database=<databasename>;server=<data baseServerName>"