Recently there were a few posts in the newsgroups where users were not able to connect to sql server especially when it was configured on a different machine. If you start seeing connection failure errors like
GlobalConfig:Initialize : Login failed for user ‘(null)’. Reason: Not associated with a trusted Sql Server connection
then there is a chance that you have not configured the sql server correctly.
This document thoroughly describes how to securely deploy your Commerce Server 2002 site. A must read for deploying Commerce Server 2002 production sites. Also checkout the following links