I get the error "Failed to open a new connection" when starting DTA on a 2005 installation.
I also get "Failed to initialize MSDB database for tuning (exit code: -1), (DTAClient)
Failed to establish a conniction to the server"
I'm using sa and am getting this on both my sql2005 boxes logging in remotely.
I did find a thread on a registry setting but it didn't exist on the boxes.