Please Help! Database connection

Hey guys,
I know this may seen very simple to some of you and I hope
that you can help me with all of your knowledge. I am trying to set
up a database for the first time. I just want to have a login page
on my site and I have no idea how to get started. I pretty much
need step by step instructions if someone could help. So far my
hosting provider told me some things but I still get an error
message. I was told the best way to connect to a ms sql database is
through a connection string. I tried that and it told me that my
name could not have any " - " in it. Then I tried getting rid of it
and it keeps giving me errors. If someone could please just point
me in the right direction to get started with this then I would be
forever greatful. Thank you so much for any help you can give me.
Jeremy

here is a example of a connection string
"Driver={Microsoft Access Driver (*.mdb)};
DBQ=D:\Webmolder\ajack\training\db\assessment.mdb"

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