Please, could you attach more information about your problem? NetBeans IDE build number, messages.log (found in View|IDE
Log) after trying connect to the server. Thanks

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The Java Code is:

package conexion;

/**
 *
 * @author Administrador
 */
import java.sql.*;

public class conexion
{
    public static void main(String[] args)
    {

        // Create a variable for the connection string.
        String sUrl = "jdbc:sqlserver://localhost\\SQLEXPRESS;databaseName=prueba;integratedSecurity=true;";

        // Declare the JDBC objects.
        Connection con = null;
        Statement stmt = null;
        ResultSet rs = null;

    try
    {
        System.out.println("--< Antes del Error >--");
        // Establish the connection.
        Class.forName("com.microsoft.sqlserver.jdbc.SQLServerDriver");
        con = DriverManager.getConnection(sUrl);

        // Create and execute an SQL statement that returns some data.
        String SQL = "SELECT TOP 10 * FROM usuarios";
        stmt = con.createStatement();
        rs = stmt.executeQuery(SQL);

        // Iterate through the data in the result set and display it.
        while (rs.next())
        {
            System.out.println(rs.getString(1) + " " + rs.getString(2));
        }
    }

    // Handle any errors that may have occurred.
    catch (Exception e)
    {
        System.out.println("Ocurrio un Error");
        e.printStackTrace();
    }

    finally
    {
        if (rs != null)
            try
            {
                rs.close();
            }
        catch(Exception e) {}
	if (stmt != null)
            try
            {
                stmt.close();
            }
        catch(Exception e) {}
	if (con != null) 
            try
            {
                con.close();
            }
        catch(Exception e) {}
    }
    }
}

Edgardo, thanks for information. But I still don't see where could be a problem. I tried to reproduce the issue with
MSSQL 2005 on localhost with sqljdbc4 driver (with JDK1.6!) and I can connect database. Check you HTTP network proxy in
Tools|Options and make sure localhost is among No Proxy Hosts (a button More in Manual Proxy Settings). Maybe it can
help. Regards

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I have checked the HTTP proxy, but I have the same problem.
Thanks

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I could connect via jdbc-odbc bridge , but I continue without connect via jdbc. One detail, Sql Server 2005 is similar 
to Sql Server 2008, but isn't the same. Could you send me a right configuration?