When building your SharePoint farm if you want to quickly test your connection to the SQL Server, you can simply:

  1. In My computer, in the ribbon click the button to show file extensions
  2. Go to the desktop and create a plain text file, then rename it to Test.RDL for example
  3. Double click on the file and you get a connection window, enter the SQL Server details and authentication information
  4. Click Test Connection and Viola!

This is a quick way to test that your connection to SQL is working properly.