I've installed SQL Server 2008 Express.
I connected to it and created a Database with Microsoft SQL Management Studio.
But I cannot connect (with same url, username and password) to the DB from my java application.
Thanks in advance.
This blog post details all the steps you need to go through to ensure you can connect to SQL Server Express remotely. While the post is for Vista, it's applicable to the server operating systems as well. One thing you'll probably want to do to isolate where the issue is with respect to connecting is to use ODBC Data Sources from a remote server and see if you can establish a connection once you've done all the configuration work. If you can, then SQL Server Express is set up properly and it's a matter of getting the Java app configured correctly.
Take a look on your Windows Start Menu, you must have some programs about Microsoft SQL Server, you must enable the "TCP/IP Protocol" in the "SQL Server Configuration Manager"