Setting up membership and users on Arvixe hosting

I'm using asp.net 3.5 to build a web application. It's now time to integrate user memberships so that users may create an account on our site. I've been up and down the internet looking for a guide or a tutorial to help me accomplish this.

I plan on using Microsoft's default login system.  When using the CreateNewUserWizard control it gives me the following error:

 A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: SQL Network Interfaces, error: 26 - Error Locating Server/Instance Specified)

Everything works perfectly on the local environment.  What changes to the web.config file or to the database do I need to make to help me set this up?  Every time I add to the web.config file it gives me an error on the new opening tag. (ex: <membership>)

Thanks for taking the time to help me with this issue!

Note: This is the first time I've worked on a published server.