This is possibly because you're connecting (through the utility) using a SQL Server login and the SQL Server in question is set to Windows authentication (not Mixed Mode). You're not in their domain, therefore you haven't established any credentials that would give you access. Without more information, however, it's hard to say. What's the utility?
You may want to verify with your provider how to connect to the SQL Server in question and also what tools they recommend using.
K. Brian Kelley
http://www.truthsolutions.com/
Author: Start to Finish Guide to SQL Server Performance Monitoring
http://www.netimpress.com/shop/product.asp?ProductID=NI-SQL1
K. Brian Kelley
@kbriankelley