Hello Adrian,
Test your UD Connect configuration on the JAVA stack with the following URL:
http://<My J2EE Host>:<Port>/TestJDBC_Web/TestJDBCPage.jsp
Selection the connection name you defined when you did your setup and try and select data from one of your MS SQL tables.
A little gotcha, use the sqljdbc4.jar when you do perform the "Deploy New JDBC Driver" step. When I tried with JRE1.6 in the past it didn't work out.
ps: You didn't mention the version of your BI system, configuration steps are different depending on the version of your J2EE.
Kindest Regards,
Amerjit