application connection to db problem

Hi, we have an application that tries to connect to backend SQL server database, but the applicaiton got error:

Login failed for userdomain\myuser. domain\myuser is an application account used to connect to the database, it is also a login/user in SQL server,

I tested from using SSMS from other machine to connect to the db, there is no problem for this user to connect to the database.

I thought I may also try to use udl file to test the connection following this :http://www.sophos.com/en-us/support/knowledgebase/65525.aspx

But when I login to the webserver to create the UDL file, I test the connection fine, but I realize this test is using my own windows credentials that I used to log on the computer, I am dba, so no problem. How can I change the user as application used windows account to test in UDL, I cannot find an option to do that, what other things you recommend for debugging this?

THanks

SQLFriend