Today I completed the steps to install and configure the AD RMS role on my AD RMS Server. Most of the work went smoothly. The only hang up I ran into occurred when I was going through the Add Roles wizard and I tried to validate the connection to the database server. At first I was unable to connect (error 40). After some searching on the Internet I found a solution. TCP/IP must be enabled in Sql Server Configuration Manager > SQL Server 2005 Network Configuration > Protocols for MSSQLSERVER > TCP/IP. After enabling TCP/IP I restarted the MSSQLSERVER service, using Server Manager. This cleared things up.
PS - If you are still having trouble connecting, try turning off Windows Firewall.