MSDE - Problems connecting using SQL Authentication

I'm trying to use the import/export part of MSDE. When I choose to connect to the server via Windows NT Authentication, everything works fine, assuming I have a connection to the server open (ie VPN connection).

When I chooose SQL Server Authentication, I get the following error:

Client unable to establish connection [CBNMPNTW] ConnectionOpen(CreateFile()).

I need to be able to connect using sql server authentication. Can anyone help me?

Thanks,
StephanieRE:
I'm trying to use the import/export part of MSDE. When I choose to connect to the server via Windows NT Authentication, everything works fine, assuming I have a connection to the server open (ie VPN connection). When I chooose SQL Server Authentication, I get the following error: Client unable to establish connection [CBNMPNTW] ConnectionOpen(CreateFile()). I need to be able to connect using sql server authentication. Can anyone help me?
Thanks,
Stephanie

Q1 Can anyone help me?
A1 Possibly, more information would be helpful and is probably quite necessary. You may well have more than one issue, i.e.(Are you using DSNs, do you have a local DSN(s) configured to use TCP/IP instead of Named Pipes, are you able to tracert / ping your MSDE server with and / or without Windows NT Authentication via your VPN, is your VPN Win NT authentication based, etc., etc.,?).