I am creating a farm and am have got to the point where it is creating a new Data Source to SQl Server.. When I click on the " What SQL Server do you want to connect to? " Drop down I see a list of SQL servers in my network but not the one I created

My Instructions say "Select the data store database.
If you are using a Microsoft SQL Server select Use
the following database on a separate database server, and select the database from the list. If
your driver does not appear on the list, cancel Setup, install the driver, and then restart Setup. " What driver is it I need to install? I may have missed this in the guide. Is the driver installed on the SQL box or the XenApp box or both?

I am installing on Server 2008 VMware VM's non R2 . The SQL is SQL 2008 With SP1I created the database on the SQL box already. I used Mixed mode auth. I am installing logged in as a Domain admin .