Why does the Apex Database login fail with the message "Login failed for user sa. Reason: Not associated with a trusted SQL Server connection."
This is what happens if the SQL Server is not installed with support for SQL Authentication. (This is also sometimes called "Standard" security.) That's why we need the "SECURITYMODE=SQL" parameter during the MSDE installation. The Apex installation program does this automatically.
If you have a "real" version of SQL Server loaded, you can change the security mode in the SQL Server Enterprise Manager without uninstalling and reinstalling the program. To do this, call up the properties for the SQL Server, go to the Security tab, and make sure that "SQL Server and Windows" is selected as the authentication option.
Otherwise, use the normal Apex setup program, or use the setup.exe command line as shown in the next section (MSDE is not installed correctly and cannot be removed).