Check your web.config file for the following:
connectionString="Data Source=.\\SQLSERVER;Initial Catalog=Northwind_db_;Integrated Security=True"
The problem is "Data Source=.\\SQLSERVER;" - It's the double \\. That's an escape sequence in C#. Switch the connection string to .\SQLSERVER.
If this is not the case please check to make sure that your SQL Server Service is running.