The connectionString node in web.config is where asp.net retrieves connection strings from. DotNetNuke ships with the files for installation on sql server, and by default a connection string of SiteSqlServer is used to determine what connection string to use.

This is referenced in 2 additional locations:

<add name="AspNetSqlMembershipProvider" type="System.Web.Security.SqlMembershipProvider" connectionStringName="SiteSqlServer" enablePasswordRetrieval="true" enablePasswordReset="true" requiresQuestionAndAnswer="false" minRequiredPasswordLength="7" minRequiredNonalphanumericCharacters="0" requiresUniqueEmail="false" passwordFormat="Encrypted" applicationName="DotNetNuke" description="Stores and retrieves membership data from the local Microsoft SQL Server database"/>

<add name="SqlDataProvider" type="DotNetNuke.Data.SqlDataProvider, DotNetNuke.SqlDataProvider" connectionStringName="SiteSqlServer" upgradeConnectionString="" providerPath="~\Providers\DataProviders\SqlDataProvider\" objectQualifier="" databaseOwner="dbo"/>

The default web.config setting is to use sql server express and looks similar to this

<add name="SiteSqlServer" connectionString="Data Source=.\SQLExpress;Integrated Security=True;User Instance=True;AttachDBFilename=|DataDirectory|Database.mdf;" providerName="System.Data.SqlClient"/>

The common alternative to this is to to use sql server sql authentication e.g.

<add name="SiteSqlServer" connectionString="Server=(local);Database=DotNetNuke;uid=;pwd=;" providerName="System.Data.SqlClient" /> 

The install wizard allows sites to select alternative settings and updates the web.config as required, but for those sites that wish to manually edit the connection this site details alternative configurations.