Don´t know how much you have done so far but can tell you how I did.
Firstly I created the database  on the SQL server  and then opened a
new page in Front Page. (I have got a Swedish version so I hope my
translations are correct) Under "Data" I choose "Include Data view"
and then under "Database connections" "Add to cataloge". Found the
database of my choice and I had a new database connection. After
this I pointed to this new database connection and from the drop
down menu I choose the first one probably called "Include data view".
Choosing "Properties for data source..." I could sort and filter the
data.

Forgot to tell you how I did to get it on the portal site.
I navigated, in IE, to a suitable Portal site and inserted the web
part "DataViewWebPart".
In Front Page I right clicked on the new data view
choosed "Properties for web part.." copied the three different codes
i.e. XSL-editor, data question editor and parameter editor and
pasted theese in the corresponding properties of the DataViewWebPart.
There might be an easier way to do this but nevertheless it worked
for me.

Integrated authentication will work if the database  is on the same sql
server where your WSS database is (not exactly true but close). Use SQL std
authentication and you will be able to connect.
On the SQL server  you are trying to connect, make sure std auth is enabled.

See if this solves your problem. Let me know.