This is usually due to an incorrectly configured System DSN. When configuring the DSN, make sure that the SQL Server authentication type is set to "With SQL Server authentication using a login ID and password entered by the user".
If set to "Windows NT authentication", the EventSentry agent will attempt to connect to the database using the security account of the machine (e.g. SERVER$) which generally does not have permissions.
If you do not wish to use SQL Server authentication then you can can reconfigure the EventSentry agent to use an account other than the LocalSystem account: