what is single sign on for domain user

Hi

i installed sharepoint 2010 on my windows server 2008 r2 vm

and its configured to a domain

and i used a domain user to install sharepoint  and configure content database on sqlserver 2008 r2

here i want to know interdependence between sharepoint,Ad ,sql server.

sql server is on another server and this also under same domain,

when i try to login with same domain user (which i used to install sharepoint) into sql server  i was unable to login

and i try to connect from  sharepoint server to sql server db server using testconnection.udl  also i was unable to login.

adil