In your web.config, if you have a connection string along the lines of
Server=myServerAddress;Database=myDataBase;Trusted_Connection=True;
Then whenever your website attempts to open a connection using this connection string, it will make it under the crendetials of the ASPNET worker process.
http://weblogs.asp.net/achang/archive/2004/04/15/113866.aspx[
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http://idunno.org/articles/276.aspx[
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For Windows 2000 Server or XP Pro machines, you just need to make sure the local "ASPNET" account (under which ASP.NET application runs) has appropriate access to the database that your application will be using.
You need to make sure that the worker process has access to your database, the articles linked should describe the problem and possible solutions