Using Vista...
1) I open SQL Server Management Studio.
2) I create a new Login by right-clicking on Security->Logins.
Check: SQL Server Authentication
Login name: tester
Password: test
Click OK
3) Click File -> Connect Object Explorer, select SQL Server Authentication and enter tester/test and click Connect.
4) Get "Login failed for user 'tester'. (Microsoft SQL Server, Error: 18456" with Severity = 14 and State = 1.
Any ideas?
EDIT: I forgot to mention that I added this user to User Mapping to my database of choice.