Cannot Open Database &"northwind&" Requested By The

Hi there. Im new to working with SQL Servers, so please be patient. I recently downloaded some samples of connecting to SQL Servers using VB.net. Problem is I cannot connect to the server. I get an error "Cannot open database "northwind" requested by the login. The login failed"

I can connect to the database no problem using SQL Service Management Studios (SQL2005), so I think the problem lies either with the setup of the PC im using (security), or perhaps it cannot find the database. The code Im using is as follows

Dim DS As DataSet
Dim MyConnection As SqlConnection
Dim MyCommand As SqlDataAdapter
MyConnection = New SqlConnection("Trusted_Connection=yes;server=.sqlexpress;Integrated Security=SSPI;uid=sa;pwd=;database=northwind")
MyCommand = New SqlDataAdapter("select firstname as 'First Name', lastname as 'Last Name' Title from Employees", MyConnection)
DS = New DataSet("Employees")
MyCommand.Fill(DS) 'This is where the error occurs
grdEmployees.DataSource = DS
grdEmployees.DataBind()

I've been reading up on this problem for a week but with no luck.

PLEASE HELP !