See Installing collectors that use a database sensor.
To set the SQL Server security mode to mixed authentication for collectors that read events from Microsoft SQL Server
From the Start menu, click Programs > Microsoft SQL Server > SQL Enterprise Manager.
With SQL Server 2000, you choose SQL Enterprise Manager.
With SQL Server 2005, you choose Microsoft SQL Server Management Studio.
With SQL Server 2008, you choose SQL Server Management Studio.
From the Tools menu, click SQL Server Configuration Properties, and then click Security.