For DB connect to use Windows/Integrated Authentication instead of only SQL authentication, it must be set up correctly for that purpose. While not especially hard, please be careful to follow the instructions for your host OS and driver closely. There are some fiddly bits in there. 😞
If you have any problems, be sure to carefully document what you did as you went through those steps, and include any errors, warnings or other messages that may have come up so we have as much context as we can get.
Hope it goes well and that you can soon get to Splunking your DBs!