What exactly do you fill in as 'server' name? An alias you created in the client-access tool for SqlServer ?
I can't reproduce it here with a sqlserver2005 box, sqlserver login etc.
The connection string used is:
"Provider=SQLOLEDB;data source=" + serverName + ";UID=" + userID + ";PWD=" + password + ";initial catalog=;persist security info=False;packet size=4096"
We use OleDb for this because the OleDbConnection has a handy method to grab all catalogs easily.