When creating Data View Web Part to connect with external data source, the following is the most infamous error you might get:
"The server returned a non-specific error when trying to get data from the data source. Check the format and content of your query and try again. If the problem persists, contact the server administrator"
Karine Bosch's Blog is the best to describe the root of this problem. Even though it was written for last version SPD, it still works for SPD 2010 with its second solution (only): use stored procedure.
a small side note, you can always see details of each Data Sources in _catalogs/fpdataSources/ folder. Some people said it is the way to work around connections to non-sql DB. Also, using window connection to SQL is not allowed for a good reason:it will be treated as double hop.